Design filters and document estimation performance

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Reference no: EM131465564

Question: A second-order discrete-time system can be described as follows:

The initial conditions are x1(0) = 1 and x2(0) = -1, and the disturbance is a zero-mean process with covariance matrix

The actual value of the state transition matrix's (2,1 ) element is unknown; however, it is thought to be a constants whose value 0.6 with a standard deviation of 0.2. Both state components are measured; the measurement error is a zero-mean process with covariance matrix

Simulate the actual system's response to a random disturbance input and the associated measurement. Design filters and document estimation performance for the following cases:

(a) Kalman filter with the actual system model.

(b) Kalman filter with the assumed system model.

Reference no: EM131465564

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