Noise covariance identification for time-varying and nonlinear systems

DOI10.1080/00207179.2016.1228123zbMATH Open1367.93729OpenAlexW2522987802MaRDI QIDQ5348387FDOQ5348387

Authors: Ming Ge, E. C. Kerrigan 

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

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zbMATH Keywords

Kalman filterextended Kalman filternonlinear systemsstate estimationlinear time-varying systemsmoving 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) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Cites Work

• Title not available (Why is that?)
• Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
• Observer design for nonlinear systems with discrete-time measurements
• Constrained state estimation for nonlinear discrete-time systems: stability and moving horizon approximations
• Stochastic stability of the discrete-time extended Kalman filter
• A new autocovariance least-squares method for estimating noise covariances
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• A fresh look at the Kalman filter

Cited In (15)

• 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
• Estimation of noise covariance matrices for periodic systems
• A new autocovariance least-squares method for estimating noise covariances
• Noise covariance estimation via autocovariance least-squares with deadbeat filters
• Noise reduction method for nonlinear signal based on maximum variance unfolding and its application to fault diagnosis
• Joint state estimation for nonlinear state-space model with unknown time-variant noise statistics
• Noise covariance matrix estimation with subspace model identification for Kalman filtering
• The Use of Nonparametric Noise Models Extracted From Overlapping Subrecords for System Identification
• Noise covariance identification for nonlinear systems using expectation maximization and moving horizon estimation
• Online evaluation of the process noise covariance matrix for event-based state estimators
• Noise covariance estimation for Kalman filter tuning using Bayesian approach and Monte Carlo
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• Improvement of State Estimation for Systems with Chaotic Noise

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