An efficient algorithm for estimating noise covariances in distributed systems

DOI10.1109/TAC.1985.1103837MaRDI QIDQ3705338zbMATH OpenFDO

Authors Dick P. Dee, Stephen E. Cohn, Amnon Dalcher, Michael Ghil

Publication date 1985

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1985.1103837

zbMATH Keywords

adaptive filtering algorithmconvergencelarge linear discrete stochastic-dynamic systemsnoise covariance matrices

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Analysis of algorithms and problem complexity (68Q25) Linear systems in control theory (93C05) Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(15)

• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• A new reduced-order adaptive filter for state estimation in high-dimensional systems
• Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
• On the efficient low cost procedure for estimation of high-dimensional prediction error covariance matrices
• A hierarchical Bayes ensemble Kalman filter
• Reduced models of atmospheric low-frequency variability: parameter estimation and comparative performance
• Graphical models for statistical inference and data assimilation
• A noise-constrained algorithm for estimation over distributed networks
• Estimation of noise covariance matrices for periodic systems
• An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
• Adaptive error covariances estimation methods for ensemble Kalman filters
• Distributed Student's t filtering algorithm for heavy‐tailed noises
• Making Asynchronous Distributed Computations Robust to Channel Noise
• On the design of a stable adaptive filter for state estimation in high dimensional systems
• Three algorithms to compute covariance matrices: Comparison of their computational complexity

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