Bayesian state estimation on finite horizons: the case of linear state-space model

DOI10.1016/J.AUTOMATICA.2017.07.043zbMath1375.93128OpenAlexW2745638820MaRDI QIDQ1679838

Shunyi Zhao, Biao Huang, Yuriy S. Shmaliy

Publication date: 22 November 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2017.07.043

zbMATH Keywords

robustnessstate estimationmaximum likelihoodoptimal estimationfinite impulse response

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Related Items (3)

A new heavy-tailed robust Kalman filter with time-varying process bias ⋮ Robust fixed-lag smoothing under model perturbations ⋮ State estimation for jump Markov nonlinear systems of unknown measurement data covariance

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