An Optimal Control Approach to Designing Constant Gain Filters
1972
This paper applies optimal control theory to designing constant gain filters which minimize a weighted average of the filtered variances. Uniaxial second-order motion is studied in detail, and an example is given which indicates that a constant gain filter may be designed with performance comparable to a Kalman filter. An appendix is included which shows how the approach may be extended to higher order systems.
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