Automatica, Vol.101, 467-470, 2019
On Kalman filtering with linear state equality constraints
This article is concerned with the state estimation problem for linear systems with linear state equality constraints. We re-examine constrained Kalman filter variations and propose an alternative derivation of the optimal constrained Kalman filter for time variant systems. This results in an oblique state projection that gives the smallest error covariance. A simple example illustrates the performance of the different Kalman filters. (C) 2018 Elsevier Ltd. All rights reserved.