Kalman Filter for Linear Fractional Order Systems
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In this paper, the discrete time Kalman filter for linear fractional order systems defined by Caputo fractional order derivatives is derived. In contradistinction to the existing fractional Kalman filter developed by using the Grndwald-Letnikov definition, the new fractional Kalman filter established by using the Caputo definition provides a new estimation tool for solving practical state estimation problems for fractional order systems given by the Caputo definition. By using this fractional Kalman filter, the numerical example about a simple springmass- damper system is shown and some important properties of this filter are investigated. All these properties are also examined numerically by Monte Carlo simulations. Copyright 2012 by Bong SuKoh and John L. Junkins.
