A circuit theory of the Kalman filter

• Published in: IEEE Decision and Control, 1993 Vol. ol. 2; pp. 1224 - 1226 vol.2
• Main Author: Carter, D.W.
• Format: Conference Proceeding Journal Article
• Language: English
• Published: IEEE 1993
• Subjects: Circuit noise; Circuit theory; Covariance matrix; Electric resistance; Electrical resistance measurement; Information filters; Power engineering and energy; Thermal engineering; Thermal resistance; Voltage measurement

This note gives a short heuristic derivation of the discrete Kalman filter by considering simple voltage measurement circuits. The idea is to obtain conclusions about the general estimation problem by reasoning about an electric analog. The usual Kalman filter and the formulation known as the inform...