Kalman filter update with multiple measurements

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Edward Jensen's Avatar (by Gravatar)Edward Jensen posted on
November 30, 2009, 1:21 pm
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Hi.

I have a system which I track using a Kalman filter. In the update step I,
however, have multiple measurements from different sensors available with
their respective covariances. Any input on how to take advantage of this in
a Kalman filter?

Thanks in advance.



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Tim Wescott's Avatar (by Gravatar)Tim Wescott posted on
November 30, 2009, 2:05 pm
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Re: Kalman filter update with multiple measurements



On Mon, 30 Nov 2009 19:21:47 +0100, Edward Jensen wrote:


If this is the usual Kalman construction and you just follow the normal
recipe for it, you should "automatically" get the right weighting for
your various sensors -- even if you have redundant sensors each with a
different linear combination of the the variables you're measuring.

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www.wescottdesign.com

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Tim Wescott's Avatar (by Gravatar)Tim Wescott posted on
November 30, 2009, 2:39 pm
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Re: Kalman filter update with multiple measurements



On Mon, 30 Nov 2009 13:05:08 -0600, Tim Wescott wrote:


BTW:  Telling us what you're up to may help get your more directed
answers.

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www.wescottdesign.com

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