Recursive performance ranking of Kalman filter with mismatched noise covariances

DOI10.1049/IET-CTA.2018.5064MaRDI QIDQ5109094zbMATH OpenOpenAlexWikidataFDO

Authors Teng Shao, Zhansheng Duan, Quanbo Ge, Huaping Liu

Publication date 10 May 2020

Published in IET Control Theory \& Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1049/iet-cta.2018.5064

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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(3)

• Kalman filter with recursive covariance estimation for protection against system uncertainty
• Robust estimation algorithm based on prior probability statistics
• On consistency and stability of distributed Kalman filter under mismatched noise covariance and uncertain dynamics

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