Kalman filtering with finite-step autocorrelated measurement noise

DOI10.1016/J.CAM.2022.114138MaRDI QIDQ2668045zbMATH OpenOpenAlexFDO

Authors Wei Liu, Peng Shi, Hui-yan Zhang

Publication date 3 March 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2022.114138

zbMATH Keywords

convergencediscrete-timefinite-step autocorrelatedKalman filteringlinear systems

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Filtering in stochastic control theory (93E11)

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Cites work

• Almost Sure Stabilizability and Riccati’s Equation of Linear Systems with Random Parameters
• Computation and transmission requirements for a decentralized linear-quadratic-Gaussian control problem
• Convergence and Stability Properties of the Discrete Riccati Operator Equation and the Associated Optimal Control and Filtering Problems
• Convergence of Optimal Linear Estimator With Multiplicative and Time-Correlated Additive Measurement Noises
• Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
• Distributed Kalman Filtering and Control Through Embedded Average Consensus Information Fusion
• Estimating time-varying parameters by the Kalman filter based algorithm: stability and convergence
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• Kalman Filtering With Intermittent Observations
• Multiconfiguration Kalman filter design for high-performance GPS navigation
• On the Time-Varying Riccati Difference Equation of Optimal Filtering
• Optimal estimation of linear discrete-time systems with stochastic parameters
• Optimal Linear Estimators for Systems With Finite-Step Correlated Noises and Packet Dropout Compensations
• Optimal state estimation for networked systems with random parameter matrices, correlated noises and delayed measurements
• Recursive filtering with random parameter matrices, multiple fading measurements and correlated noises
• Stochastic processes and filtering theory

Cited in

(7)

• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• Correcting noisy dynamic mode decomposition with Kalman filters
• Linear Kalman-Bucy filter with autoregressive signal and noise
• Convergence properties of an optimal filter design with correlated output noise
• The Kalman type filter of multi-step correlated process and measurement noises
• Bridging a Gap in Applied Kalman Filtering: Estimating Outputs When Measurements Are Correlated with the Process Noise [Focus on Education]
• Steady‐state Kalman filtering with nonstationary noise

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