Noise covariance identification for time-varying and nonlinear systems

DOI10.1080/00207179.2016.1228123MaRDI QIDQ5348387zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• A fresh look at the Kalman filter
• A new autocovariance least-squares method for estimating noise covariances
• Constrained state estimation for nonlinear discrete-time systems: stability and moving horizon approximations
• Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• Observer design for nonlinear systems with discrete-time measurements
• Stochastic stability of the discrete-time extended Kalman filter

Cited in

(15)

• Improvement of State Estimation for Systems with Chaotic Noise
• 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
• Noise covariance identification for nonlinear systems using expectation maximization and moving horizon estimation
• The Use of Nonparametric Noise Models Extracted From Overlapping Subrecords for System Identification
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• 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

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