Constrained two-stage Kalman filter for target tracking

Abstract

This note investigates the problem of state estimation for an uncertain linear system with a priori known information in the form of equality constraints. System projection idea is employed to develop a robust two-stage Kalman filter satisfying state constraints. The proposed method is utilized to solve the target tracking problem. Simulation results illustrate that the proposed two-stage filter outperforms the standard constrained Kalman filter.