Noise covariance identification for nonlinear systems using expectation maximization and moving horizon estimation

DOI10.1016/J.AUTOMATICA.2016.11.011MaRDI QIDQ510145zbMATH OpenOpenAlexFDO

Authors Ming Ge, E. C. Kerrigan

Publication date 16 February 2017

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2016.11.011

zbMATH Keywords

expectation maximizationextended Kalman filterfull information estimationmoving horizon estimationnoise covariance estimationnonlinear systemstate estimation

Mathematics Subject Classification ID

Semidefinite programming (90C22) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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Cites work

• A fresh look at the Kalman filter
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Constrained state estimation for nonlinear discrete-time systems: stability and moving horizon approximations
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 2109342 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• Noise covariance identification for time-varying and nonlinear systems
• Observer design for nonlinear systems with discrete-time measurements
• On the convergence properties of the EM algorithm
• Practical Methods for Optimal Control and Estimation Using Nonlinear Programming
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3

Cited in

(6)

• Suboptimal receding horizon estimation via noise blocking
• The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
• Identification of EIV models with coloured input–output noise: combining PEM and covariance matching method
• Noise covariance identification for time-varying and nonlinear systems
• Noise covariance estimation via autocovariance least-squares with deadbeat filters
• Moving horizon estimation for uncertain networked control systems with packet loss

Describes a project that uses

Uses Software

• astsa
• SOCS
• SDPT3

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