Analysis of discrete-time Kalman filtering under incorrect noise covariances

DOI10.1109/9.61006zbMATH Open0732.93073OpenAlexW2138953630MaRDI QIDQ3360102FDOQ3360102

Authors Suwanchai Sangsuk-Iam, Thomas E. Bullock

Publication date 1990

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

Full work available at URL https://doi.org/10.1109/9.61006

zbMATH Keywords

Kalman filterGaussian processdiscrete stochastic dynamical system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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• A robust fixed-lag receding horizon smoother for uncertain state space models
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• Correcting noisy dynamic mode decomposition with Kalman filters
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• Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems
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• Robust output feedback sliding mode control for uncertain discrete time systems
• Performance robustness analysis of Kalman filter for linear discrete-time systems under plant and noise uncertainty
• scientific article; zbMATH DE number 1014746 (Why is no real title available?)
• Adaptive filter for systems with unknown noise covariances using an instrumental performance functional
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• A derivative-free nonlinear Kalman filtering approach using flat inputs
• The guaranteed estimation performance filter for discrete-time descriptor systems with uncertain noise
• Testing the covariance matrix of a renovating sequence under operating control of the Kalman filter
• \(L_2\)-stability of discrete-time Kalman filter with random coefficients under incorrect covariance
• Some new errors for assessing Kalman filter performance
• Adaptive Kalman filtering for closed-loop systems based on the observation vector covariance

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