Discrete Kalman Filter for a Class of Non-Linear Stochastic Systems

摘要

A procedure for the discretization (in time) of a nonlinear systems equation is introduced. Based on this procedure, a version of the discrete (in time) Kalman filter is suggested for the estimation of (x(tk)). The filter proposed here turns out to be more economical in the amount of computation and in memory storage requirements than the linearized or extended Kalman filters, or the truncated nonlinear filters. Two examples are numerically solved.