Noise covariance identification for time-varying and nonlinear systems

DOI10.1080/00207179.2016.1228123zbMath1367.93729OpenAlexW2522987802MaRDI QIDQ5348387

Eric C. Kerrigan, Ming Ge

Publication date: 15 August 2017

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/40609

zbMATH Keywords

nonlinear systemslinear time-varying systemsstate estimationextended Kalman filterKalman filtermoving horizon estimationnoise covariance estimationauto-covariance least squares

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

Related Items (3)

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

Cites Work

• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• A new autocovariance least-squares method for estimating noise covariances
• Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
• Stochastic stability of the discrete-time extended Kalman filter
• Observer design for nonlinear systems with discrete-time measurements
• A Fresh Look at the Kalman Filter
• Constrained state estimation for nonlinear discrete-time systems: stability and moving horizon approximations
• Unnamed Item

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