chapter  8
24 Pages

Continuous‐Time One‐Dimensional Kalman Tracking Filters with Position and Velocity Measurements

ByK. V. Ramachandra

In this chapter, the random walk velocity (RWV) and the random walk acceleration (RWA) models of continuous‐time Kalman tracking filters are discussed. The steady state covariances and gains are obtained analytically for both the models. The position and velocity measurements are assumed to be obtained continuously, and both these measurements are incorporated in the filtering processes of the two models. The filtering solution for a continuous time system may be found in two ways:

168By a limiting operation on the known solution for the corresponding discrete‐time case

By directly solving the algebraic Riccati equation