Process noise covariance estimation via stochastic approximation

DOI10.1002/ACS.3068MaRDI QIDQ5128876zbMATH OpenOpenAlexWikidataFDO

Authors Federico Bianchi, Simone Formentin, L. Piroddi

Publication date 26 October 2020

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11311/1118985

zbMATH Keywords

gradient-free optimizationprocess noise covariancestate estimationstate-space modelsstochastic approximation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cites work

• A new autocovariance least-squares method for estimating noise covariances
• Estimation of noise covariance matrices for a linear time-varying stochastic process
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• Filtering and System Identification
• Noise covariance matrices in state‐space models: A survey and comparison of estimation methods—Part I
• Numerical methods in matrix computations
• Robust Kalman filtering for uncertain discrete-time systems
• Robust Kalman Filtering Under Model Perturbations
• Stochastic Estimation of the Maximum of a Regression Function

Cited in

(12)

• Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
• Receding horizon least squares estimator with application to estimation of process and measurement noise covariances
• The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
• Estimation of Continuous-Time Stochastic Signals From Sample Covariances
• Noise covariance matrices in state‐space models: A survey and comparison of estimation methods—Part I
• scientific article; zbMATH DE number 5791331 (Why is no real title available?)
• Adaptive Kalman filtering for closed-loop systems based on the observation vector covariance
• Noise covariance identification for nonlinear systems using expectation maximization and moving horizon estimation
• Noise covariance estimation for Kalman filter tuning using Bayesian approach and Monte Carlo
• Predicting the output error of the suboptimal state estimator to improve the performance of the MPC-based artificial pancreas
• Noise covariance matrix estimation with subspace model identification for Kalman filtering
• Online evaluation of the process noise covariance matrix for event-based state estimators

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