Linear filtering for a class of jump processes arising in navigation systems
Dabbous, T. E.
Lim, S. S.
IMA Journal of mathematical control and information
Oxford University Press
269 - 292
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Please cite this item using this persistent URLhttp://hdl.handle.net/11693/26196
In this paper, the filtering problem for a class of jump processes with discrete observations is considered. Using a minimum variance approach, a linear recursive unbiased filter is obtained with the help of which the required estimate and the corresponding covariance can be determined. The proposed filter allows multiple jumps for the state process, thereby making the theory applicable to modern navigation problems (Omega and Loran-C receivers), where multiple jumps have been reported to be a common occurrence. Further, utilizing the filter equations, the question of continuous dependence of the filter on system parameters is studied. Finally, a numerical example based on a navigation system model is presented, to illustrate some of the results of this paper. © 1990 Oxford University Press.