Innovative Formulation in Discrete Kalman Filtering with Constraints - A Generic Framework for Comprehensive Error Analysis

Abstract

This manuscript establishes a generic framework for comprehensive error analysis in discrete Kalman filtering with constraints, which systematically provides a complete set of algorithmic formulas along with demonstrating an alternative process of theoretical analytics of discrete Kalman filter. This constructive work aims extensively to standardize the formulation of Kalman filter with constraints. In analogy to the similar framework for standard discrete Kalman filter (without any constraints), the proposed framework specifically considers: model formulation vs. the error sources, the solution of the state and process noise vectors, the residuals for the process noise vector and the measurement noise vector, the redundancy contribution of the predicted state vector, process noise vector and measurement vector, and other relevant essential aspects, of which some of the features are essential to comprehensive error analysis, but are nonexistent yet in the primary algorithm in Kalman filtering with constraints. Besides, the algorithmic form of the Extended Kalman filter with constraints is also provided for practical purpose. At the end, specific remarks about the developed framework are given to emphasize on its usage to a certain extend.