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

DOI10.1002/ACS.2783zbMATH Open1386.93283OpenAlexW2612922558MaRDI QIDQ4599751FDOQ4599751

Jindřich Havlík, Oliver Kost, Ondřej Straka, Jindřich Duník

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

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zbMATH Keywords

state-space modelsystem identificationstate estimationadaptive systemsnoise covariance matrix

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)

Cited In (16)

• The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
• Adaptive Kalman filtering for closed-loop systems based on the observation vector covariance
• Process noise covariance estimation via stochastic approximation
• Title not available (Why is that?)
• Noise covariance estimation via autocovariance least-squares with deadbeat filters
• A multi‐tone central divided difference frequency tracker with adaptive process noise covariance tuning
• Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
• Least-squares parameter estimation for state-space models with state equality constraints
• Robust linearly constrained extended Kalman filter for mismatched nonlinear systems
• Identification of linear systems with multiplicative noise from multiple trajectory data
• State covariance assignment problem with measurement noise: A unified approach based on a symmetric matrix equation
• Markov chain Monte Carlo based adaptive Rauch-Tung-Striebel smoother
• Kalman filters based on multibody models: linking simulation and real world. A comprehensive review
• Offline state estimation for hybrid systems via nonsmooth variable projection
• Variational Bayesian adaptation of process noise covariance matrix in Kalman filtering
• System identification approach for inverse optimal control of finite-horizon linear quadratic regulators

Uses Software

• Matlab

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