Reducing the computational load of a Kalman filter

The Kalman filter is a powerful tool in linear-systems analysis. The authors present a particular application in which there are more measurements than states. In such an application, the state-space system can be replaced by an equivalent one that has the same number of measurements as states. The Kalman filter will produce the same state estimates for both systems. Using the equivalent system leads to a substantial saving in computer operations.M. J. Goris, D. A. Gray and I. M. Y. Mareel