An Analytical Discretization Approach to Continuous-time System for Kalman Filter

This paper presents an analytical discretization approach for continuous-time systems. By using the matrix multiplying expression of the state transition matrix and the matrix quadratic form theory, the general discretized model of the system state equation in the time domain is derived. The design of the parameter N is used to ensure the accuracy and robustness of the algorithm. Compared with the traditional methods in deducing the discretization formulas, the proposed method has the advantages of generality and easiness. This method is propitious to the integrated realization of the Kalman filter process for the continuous-time system. Simulation results verify the validity and feasibility of the proposed method.