Kalman Filtering Error Due to Inaccuracy in Filter’s Initial Condition

[+] Author and Article Information
Z. Gajic

Rutgers University, Department of Electrical and Computer Engineering, Piscataway, NJ 08855-0909

J. Boka

Martin Marietta Astro Space, Princeton, NJ 08540

J. Dyn. Sys., Meas., Control 119(1), 119-122 (Mar 01, 1997) (4 pages) doi:10.1115/1.2801202 History: Received March 28, 1995; Online December 03, 2007


It is a very well known fact that the initial condition of the optimal linear Kalman filter has to be set at the mean value of the system initial state. In this paper, we have derived an expression for the filtering error in the case when this condition is not satisfied. Both continuous- and discrete-time domain filters are considered. The obtained results are simple and elegant and clearly indicate the effect of the erroneous filter’s initial condition. An example is included in order to demonstrate the results obtained.

Copyright © 1997 by The American Society of Mechanical Engineers
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