An Optimal Control Approach to Designing Constant Gain Filters

摘要

The paper applies optimal control theory to designing constant gain filters which minimize a weighted average of the filtered variances. Uni-axial second order motion is studied in detail, and an example is given which indicates that a constant gain filter may be designed with performance comparable to a Kalman filter. An appendix is included which shows how the approach may be extended to higher order systems. (Author)