Improved Understanding of the Loss-of-Symmetry Phenomenon in the Conventional Kalman Filter
نویسنده
چکیده
This paper corrects an unclear treatment of the conventional Kalman filter implementation as presented by M. H. Verhaegen and P. van Dooren in “Numerical aspects of different Kalman filter implementations,” IEEE Trans. Automat. Contr., vol. AC-31, no. 10, pp. 907-917, 1986. This paper shows that habitual, incorrect implementation of the Kalman filter has been the major cause of its sensitivity to the so-called loss-of-symmetry phenomenon.
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