Simplified solution for a class of fading memory filters

Abstract

A fading memory filter is a least squares estimator (LSE) that applies an exponentially decaying weight to past measurements. When compared with a standard Kalman filter, its key advantages are asymptotic stability and reduced sensitivity to modeling errors. This paper derives a simple solution for a class of fading memory filters, resulting in a reduction in computational complexity. Steady state filter solutions are obtained for second- and third-order filters used in a global positioning system (GPS) receiver for high dynamic vehicles.