Reduced-order Kalman filtering with incomplete observability

Abstract

Kalman filtering is considered with reference to linear stochastic dynamic systems without complete observability. It is shown that the canonical decomposition theorem can be extended to the stochastic case and the matrix Riccati equation of the Kalman filter is order-reducible if some states are not observable. The inclusion of unobservable states in Kalman filtering makes the unobservable states 'asymptotically' observable in the filter if these unobservable states are dynamically connected to observable states and asymptotically stable. The reduced-order Kalman filter saves computation time when compared to the conventional Kalman filter.