Numerisk behandling av Kalmans ekvationer för tidsdiskreta system

In this report are discussed different algorithms for the state estimation problem according to the Kalman theory. It is shown that the highest accuracy is obtained with av algorithm consisting of three non-negative definite parts, but that shorter algorithms may be sufficient for certain systems. The necessity of enforcing symmetry on the algorithms is discussed together with different methods for obtaining this. A brief discussion on the possibility of precalculating and storing certain matrices concludes the report