Noise covariance matrices in state‐space models: A survey and comparison of estimation methods—Part I

DOI10.1002/ACS.2783MaRDI QIDQ4599751zbMATH OpenOpenAlexFDO

Authors Oliver Kost, Jindřich Havlík, Jindřich Duník, Ondřej Straka

Publication date 4 January 2018

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

Full work available at URL https://doi.org/10.1002/acs.2783

zbMATH Keywords

adaptive systemsnoise covariance matrixstate estimationstate-space modelsystem identification

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cited in

(20)

• State covariance assignment problem with measurement noise: A unified approach based on a symmetric matrix equation
• Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
• Variational Bayesian adaptation of process noise covariance matrix in Kalman filtering
• The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
• Identification of linear systems with multiplicative noise from multiple trajectory data
• Offline state estimation for hybrid systems via nonsmooth variable projection
• System identification approach for inverse optimal control of finite-horizon linear quadratic regulators
• Markov chain Monte Carlo based adaptive Rauch-Tung-Striebel smoother
• Estimation of noise covariance matrices for periodic systems
• scientific article; zbMATH DE number 1398561 (Why is no real title available?)
• A multi-tone central divided difference frequency tracker with adaptive process noise covariance tuning
• Least-squares parameter estimation for state-space models with state equality constraints
• 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
• Process noise covariance estimation via stochastic approximation
• Noise covariance estimation for Kalman filter tuning using Bayesian approach and Monte Carlo
• Kalman filters based on multibody models: linking simulation and real world. A comprehensive review
• Robust linearly constrained extended Kalman filter for mismatched nonlinear systems
• Noise covariance estimation via autocovariance least-squares with deadbeat filters
• Noise covariance matrix estimation with subspace model identification for Kalman filtering

Describes a project that uses

Uses Software

• Matlab

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