RESEARCH PAPERS: Additional Technical Papers

Discrete-Time Equivalent of Continuous-Time Filtering Processes

[+] Author and Article Information
Bernard Friedland

The Singer Company, Kearfott Division, Little Falls, N.J. 07424

J. Dyn. Sys., Meas., Control 103(4), 417-419 (Dec 01, 1981) (3 pages) doi:10.1115/1.3139684 History: Received September 24, 1980; Online July 21, 2009


The continuous-time Kalman filtering problem over a finite time interval can be made equivalent to a discrete-time filtering problem. The matrices in the latter are related to the submatrices of the transition matrix of a Hamiltonian system that corresponds to the continuous-time filtering problem.

Copyright © 1981 by ASME
Topics: Filtration
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