Specific optimal discrete filtering mechanizations

An optimization procedure is developed for obtaining the best discrete representation of a specified form for modeling a continuous, steady-state, Kalman filter. This technique is particularly useful for digital processors in real-time filtering applications. The generalized optimization format is developed, an optimal digital mechanization is obtained, and numerical comparisons are made with the Euler method and the second-order Runge-Kutta numerical integration formula. Significant improvements are shown for several fixed values of discretization intervals.