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Linear Kalman Filtering Algorithm With Noisy Control Input Variable
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DOI：10.1109/TCSII.2018.2878951.png)
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Abstract
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This brief focuses on the development of a linear Kalman filtering algorithm when the control input variable is corrupted by noises. The noisy input is considered in the derivation process of the Kalman filter, and an extra term is included in the covariance matrix of the one step error. A bias estimation is naturally generated by the input noise. To reduce the bias, a new cost function of the state estimation error with a regularization term is proposed to obtain the Kalman gain matrix. Simulation results in the context of discrete time state estimation demonstrate that the proposed algorithm can achieve excellent estimation performance in terms of the steady-state misalignment under noisy input environments.
Keywords:
Linear Kalman filter
noisy control variable
discrete time state estimation
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