Discrete-Time State Estimation of Analog Double Integrators

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The problem of minimum variance discrete-time state estimation of a continuous-time double integrator via noisy continuous-time measurements is considered. The error covariance matrices o this estimation are calculated and analyzed. The relations between these covariance matrices and the error covariance matrix of the optimal continuous-time filter are obtained, and a way for determining the required sampling period is proposed. A commonly used approximated model is investigated; it is shown to be inappropriate unless a specific improvement is introduced in the model.

Original languageEnglish
Pages (from-to)670-677
Number of pages8
JournalIEEE Transactions on Aerospace and Electronic Systems
Issue number6
StatePublished - Nov 1988


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