Kalman filter


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Kalman filter

[′kal·mən ‚fil·tər]
(control systems)
A linear system in which the mean squared error between the desired output and the actual output is minimized when the input is a random signal generated by white noise.
References in periodicals archive ?
1996) The Kalman Filter in Finance, Kluwer Academic Publishers, Dordrecht, The Netherlands.
In order to price Euribor interest rate caps, we estimate a restrictive HJM model via the Kalman filter.
Based on this supposition, Kalman filter is explored here for line matching and tracking.
Application of Kalman filter requires state space equations for state and measurement equation.
Nick describes the localization of a passive UHF RFID tag via Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF) using the RSSI values.
The KPKF is a mixture of extended Kalman filter and particulate filter combining the advantages of both filters.
We also compared the results computed with traditional Kalman filter and our proposed RKF.
The three data sets are inputs to Kalman filter which produced the corrected positional data, Figure 9 shows the track data from three source vs kalman filter corrected positional output.
Szunyogh, 2007: Efficient data assimilation for spatiotemporal chaos: A local ensemble transform Kalman filter.
The Kalman filter (KF) is designed in the form of predictor-corrector [19] and it is based on the motor model from Section II.
Then a power assisted braking control strategy for pedal force is proposed based on the novel brake booster system, which contains a signal processing module used Kalman filter, a driver braking behavior recognition module which is mainly used for the flag judgement ,that stands for pedal applying, holding, releasing, a brake power assistance control module, composed of the basic power assistance control, velocity compensation control, friction compensation control (the friction is estimated based on genetic algorithm in offine mode), etc.
The device includes a decimation stage for each sensor and an extended Kalman filter for adaptive filtering.