Kalman filtering for second-order models

where, usually, Mis symmetric positive definite and K is symmetric nonnegative definite. In this paper, we require only that M be invertible, although M~ 1 is not needed explicitly in our subsequent development. In some mechanical systems, for example, the constant matrices M,D,KtR are called the mass (or inertia), damping, and stiffness matrices, respectively, the state vector x€R" is called the displacement vector, and F=Bu is called the force vector, where u£R is a known input and B£R is a constant matrix. In most situations, a set of measurements, y£R, rather than the full state vector x, is available, where