Abstract:This note is a tutorial on the deterministic version of the Kalman filter (state estimator), which is formulated as finding the state trajectory consistent with the system's equations with the minimal amount of $L^2$ process and measurement uncertainty. As stated, this is an input signal design problem with linear dynamics and an objective that is affine-quadratic in the state and inputs. The first step is to convert this problem to one with a purely quadratic objective by embedding in a larger system using ``homogeneous coordinates''. This converts the problem to a purely quadratic (i.e. an LQR) problem, but with non-standard initial or final state constraints. This latter problem can then be solved using a version of the matrix Differential Riccati Equation (DRE) for the larger LQR problem. The second step is a partitioning of this larger problem, which then yields the optimal dynamic observer and the DRE of the traditional Kalman filter. For comparison, the solution of the traditional LQ-tracking (Servomechanism) problem is also treated using a similar construction.
From: Bassam Bamieh [view email]
[v1]
Wed, 10 Jun 2026 17:01:41 UTC (36 KB)
[v2]
Tue, 16 Jun 2026 00:59:54 UTC (2,117 KB)
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