LINEARIZED REDUCED-ORDER FILTERING

A reduced-order version of extended Kalman filtering is presented in which both the filtering equation and the associated Riccati equation have been reduced in dimension to allow for real-time processing. The procedure for designing the reduced-order filter is similar to that for designing the extended Kalman filter, the same approximations being applied. One technique useful for limiting the computational border in a linearized filter design problem is presented and illustrated by an example. The primary limitation of the result is that the nonlinearity must be in terms of the vector to be estimated.