Noise covariance estimation for Kalman filter tuning using Bayesian approach and Monte Carlo

DOI10.1002/ACS.2369MaRDI QIDQ5745669zbMATH OpenOpenAlexFDO

Authors Peter Matisko, Vladimír Havlena

Publication date 30 January 2014

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/acs.2369

zbMATH Keywords

adaptive Kalman filterBayesian approachKalman filterMonte Carlonoise covariance estimation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cites work

• A new autocovariance least-squares method for estimating noise covariances
• Advanced point-mass method for nonlinear state estimation
• Approaches to adaptive filtering
• Estimation of noise covariance matrices for a linear time-varying stochastic process
• Filtering, predictive, and smoothing Cramér-Rao bounds for discrete-time nonlinear dynamic systems
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• scientific article; zbMATH DE number 3304505 (Why is no real title available?)
• Identification of optimum filter steady-state gain for systems with unknown noise covariances
• Subspace methods for system identification.

Cited in

(10)

• State and parameter estimation of state-space model with entry-wise correlated uniform noise
• Estimation of noise covariance matrices for periodic systems
• scientific article; zbMATH DE number 3940323 (Why is no real title available?)
• Model error estimation using the expectation maximization algorithm and a particle flow filter
• Adaptive Kalman filtering for closed-loop systems based on the observation vector covariance
• Process noise covariance estimation via stochastic approximation
• Noise covariance identification for time-varying and nonlinear systems
• Approximate Gaussian variance inference for state-space models
• Noise covariance matrix estimation with subspace model identification for Kalman filtering
• Policy optimization of finite-horizon Kalman filter with unknown noise covariance

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