DiscreteTime Kaiman Filter
This chapter provides the state of a discrete linear system developing dynamically through time. With the increasing sophistication of microprocessors, more and more control schemes are being implemented digitally. In a digital implementation, the state of the plant is required at discrete time instants. The chapter presents approach to discrete filtering for continuoustime systems, which is known as the continuousdiscrete Kaiman filter. One good way to verify that the Kaiman filter is performing as designed is to monitor the residual. If it is not white noise, there is something wrong with the design and the filter is not performing optimally. The software for implementing the Kaiman filter efficiently may be found in Bierman.