The compensated Kalman filter.

Abstract

This paper introduces the compensated Kalman filter, a suboptimal state estimator which can be used to eliminate steady-state bias errors when it is used in conjunction with the mismatched steady-state (asymptotic) time-invariant Kalman-Bucy filter. The uncompensated mismatched steady state Kalman-Bucy filter exhibits bias errors whenever the nominal plant parameters used in the filter design are different from the actual plant parameters. The approach used relies on the utilization of the residual (innovations) process of the mismatched filter to estimate, via a Kalman-Bucy filter, the state estimation errors and subsequent improvements of the state estimate. The compensated Kalman filter augments the mismatched steady state Kalman-Bucy filrby the introduction of additional dynamics and feedforward integral compensation channels.