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International Journal of Computer Application
Issue 3, Volume 1 (February 2013)

Available online on http://www.rspublication.com/ijca/ijca_index.htm
ISSN: 2250-1797
Discrete and Continuous-Time Kalman Filters for

Computer Applications
B.R.Geetha
Research Scholar, Registration Number: 00140811V,File No.:11264
Department of Computer Science
Pacific Academy of Higher Education and Research University,
Pacific Hills, Airport Road, Pratap Nagar Extension, Udaipur, Rajasthan
_______________________________________________________________________
Abstract The Kalman filter made a revolution in the field of estimation theory ever since its
publication in 1960. This is because of its adaptability for implementation on a digital
computer for on-line estimation and usefulness of the state space approach. During these
years, Kalman filtering has become an established technique widely applied in the field
of navigation, guidance, attitude control, satellite orbit determination, re-entry of space
vehicles, radar and sonar tracking, and so on.
_______________________________________________________________________
1.1.Introduction
Dynamical systems such as space vehicles, ships, submarines and other vehicles
are often liable to random disturbances and consequently the state of the system becomes
random. We require updated information on the parameters that describe the dynamics of
these targets to assess the systems performance. The observations made on the
dynamical system are usually corrupted with random errors and yield only crude
information about the behavior of the system and may not be satisfactory for assessing
the systems performance [5]. Under such circumstances, when the dynamical system is
subject to random disturbances and the measurements are corrupted by unavoidable
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ISSN: 2250-1797
random errors, the problem of finding the state of the system is called the estimation or
the filtering problem [3].
Kalman [1] solved the estimation problem by adapting the state-space approach.
He assumed that the vector signal process could be characterized as the state variables of
a linear dynamical system, excited by uncorrelated noise. The measurement was then
assumed to be a linear transformation of the state vector corrupted by a vector noise
process. The result was the Kalman filter which could be easily synthesized on a digital
computer and readily applicable to vector random processes.
The filtering problem is of great interest in engineering since state estimates are
required for purposes of tracking, monitoring and for control of systems.
The Discrete-time Kalman filter [1] and the continuous-time Kalman-Bucy filter
[2] are presented in this chapter without details of derivation.
1.2. Discrete-Time Kalman Filter
The dynamic model of the target such as an aircraft is assumed to be described by
the discrete, linear, vector matrix equation of the form [1-14]
X n1 FX n BWn
(1)
where X n is a k-dimensional state vector at the nth stage, F is a k x k transition matrix,

B is a k x r input distribution matrix and Wn is an r-dimensional random input vector.
Wn is assumed to be white Gaussian with the following properties:
E Wn 0
( 2)
E{WnW } Q nm
T
m
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ISSN: 2250-1797
where Q is an r x r covariance matrix of the process noise Wn and nm is the Dirac delta
function.
The measurement model is assumed to be described by
Z n HX n Vn
(3)
where Z n is an m-dimensional measurement vector, H is an mxk observation matrix and
Vn is an m-dimensional random disturbance vector that is corrupting the measurements.

Vn is assumed to be white Gaussian with the following properties:
EVn 0
E V nV
T
m
(4)
nm
where R is an m x m covariance matrix of the measurement noise Vn .

The random sequences Wn and Vn are assumed to be independent of each other and also
independent of the initial state vector X 0 .
Now an estimate of the state vector X n based upon the knowledge of the
measurements in Z j , where
Z j z1 , z 2 ,...z j
(5)
is denoted as X n j . Specifically, n j denotes a predicted estimate, n j denotes a

smoothed estimate and n j denotes a filtered estimate.
If the mean square error is chosen as the optimal criterion, then Kalman [1] has
shown that the minimizing estimate is given by
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ISSN: 2250-1797
X n j EX n | Z j
(6)
where EX n / Z j denotes the conditional expectation of X n given the knowledge of Z j .

The optimum estimate of the state vector, X n , after processing the measurement Z n is
given by the Kalman filter algorithm as
~
~
X n X n K n Z n HX n
(7)
with
~
X n1 FX n
(8)
~
X n is the optimum estimate of the state vector before processing the measurement Z n
and K n is the Kalman gain matrix given by
~
~
K n Pn H T HPn H T R
(9)
~
where Pn is the covariance matrix of estimation errors before processing the measurement
Z n and is computed recursively as
T
~
Pn1 FPn F BQB T
(10)
Pn is the covariance matrix of estimation errors after processing the observation and is
given by
~
Pn [ I K n H ]Pn
(11)
Equations (10) and (11) are referred to as the discrete Riccati equations. The Kalman gain
matrix K n given by (9) may also be expressed in terms of Pn as
K n Pn H T R 1
(12)
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ISSN: 2250-1797
If the Gaussian assumption is dropped, then the Kalman filter is the minimum mean
square error linear filter.
1.3. Continuous-Time Kalman-Bucy Filter

The dynamic model for the continuous-time case is described by a vector firstorder differential equation of the form [2]
X FX BU
(13)
where X is an n-dimensional state vector and X is its derivative. F is an n x n matrix, B

is an n x r matrix, and U is an r-dimensional white noise vector with covariance
E[U (t )U T ( )] Q (t )
(14)
where (t ) is the Dirac delta function. The output of the measurement system is
Z HX V
given by
(15)
Z is an m-dimensional vector, H is an mxn observation matrix and V is an m-dimensional

white noise vector with covariance given by,
E[V (t )V T ( )] R (t )
(16)
The problem is to find the best estimate of X (t ) in the mean square sense, X (t | t ) , given
Z ( ) for 0 t . The optimal filter is a linear dynamical system of the form,
X t t FX t t K t Z HX t t
(17)
whose initial state is X 0 , and where

K (t ) P(t ) H T R 1
(18)
P(t ) is the covariance matrix of the optimal error,

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ISSN: 2250-1797
P(t ) E{[ X (t ) X (t | t )][ X (t ) X (t | t )]T }
(19)
This covariance matrix is given by a solution to the matrix Ricatti equation,

P FP PF T PH T R 1 HP BQBT
(20)
1.4. Summary
A brief introduction to the development of Kalman filter is given in section 1.1.
The discrete-time formulation of the Kalman filter is discussed in section 1.2. and the
continuous-time Kalman-Bucy filter is discussed in section 1.3 without details of
derivation.
References
[1] R.E.Kalman, A New Approach to linear filtering and prediction problems, Journal of
Basic Engineering, Trans.ASME, Vol.82-D, No.1, PP 35-46, March 1960
[2] R.E.Kalman and R.S.Bucy, A New Result in linear filtering and prediction
problems, Journal of Basic Engineering, Trans.ASME, Vol.83-D, No.1, PP 95-108,
December 1961
[3] A.H.Jazwinsky, Stochastic Processes and Filtering Theory, Academic Press, New
York, 1970
[4] C.T.Leondes (Editor), Theory and applications of Kalman filtering, NATO
AGARDo graph, 139, NTIS, USA, February 1970.
[5] J.S.Meditch, Stochastic optimal linear estimation and control, McGraw-Hill,
NewYork, 1969.
[6] A.Gelb, Applied Optimal Estimation, Cambridge, MA: MIT Press, 1974
[7] H.W.Sorenson, Least Squares Estimation from Gauss to Kalman, IEEE Spectrum,
Vol.7, PP 63-68, July 1970
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[8] Brian D.O. Anderson and John B.Moore, Optimal Filtering, Prentice-Hall,
Englewood Cliffs, NJ, 1979
[9] S.S.Blackman, Multiple-Target Tracking with Radar Applications, Artech House,
Inc., Dedham, MA, 1986
[10] A. Farina and Studder, Radar Data Processing, Research Studies Press,
Letchworth, Herts, England, 1985
[11] Y.Bar-Shalom and T.E.Fortmann, Tracking and Data Association, Academic Press,
San Diego, CA, 1988
[12] Mahinder S.Grewal and Angus P.Andrews, Kalman Filtering Theory and Practice,
Prentice-Hall, Englewood Cliffs, NJ, 1993
[13] R.J.Fitzgerald, Target Tracking Filters, Electronic Progress, Vol.XVII, No.1, pp 3138, spring 1975
[14] K.V.Ramachandra, Kalman filtering techniques for radar tracking Marcel-Dekker,
Inc., New York, 2000
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International Journal of Computer Application

Issue 3, Volume 1 (February 2013)

Discrete and Continuous-Time Kalman Filters for

International Journal of Computer Application

where X n is a k-dimensional state vector at the nth stage, F is a k x k transition matrix,

Wn is assumed to be white Gaussian with the following properties:

International Journal of Computer Application

where Z n is an m-dimensional measurement vector, H is an mxk observation matrix and

Vn is an m-dimensional random disturbance vector that is corrupting the measurements.

where R is an m x m covariance matrix of the measurement noise Vn .

is denoted as X n j . Specifically, n j denotes a predicted estimate, n j denotes a

International Journal of Computer Application

where EX n / Z j denotes the conditional expectation of X n given the knowledge of Z j .

and K n is the Kalman gain matrix given by

International Journal of Computer Application

1.3. Continuous-Time Kalman-Bucy Filter

where X is an n-dimensional state vector and X is its derivative. F is an n x n matrix, B

Z is an m-dimensional vector, H is an mxn observation matrix and V is an m-dimensional

Z ( ) for 0 t . The optimal filter is a linear dynamical system of the form,

whose initial state is X 0 , and where

P(t ) is the covariance matrix of the optimal error,

International Journal of Computer Application

P(t ) E{[ X (t ) X (t | t )][ X (t ) X (t | t )]T }

This covariance matrix is given by a solution to the matrix Ricatti equation,

International Journal of Computer Application

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