Kalman filter with recursive covariance estimation for protection against system uncertainty

DOI10.1049/IET-CTA.2019.1476MaRDI QIDQ6608948zbMATH OpenFDO

Authors Xuan Xiao, Kai Shen, Yuan Liang, Tingxin Liu

Publication date 20 September 2024

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

zbMATH Keywords

recursive estimationstabilitycovariance matricesadaptive estimationstability analysiscomputational efficiencyfiltering theoryunknown parameterssystem uncertaintyfiltering problemunknown noise statisticsestimation processadaptive Kalman filtersalgorithm optimisationexact system parametersideal KFlow calculation complexitymeasurement sequence adaptive KFmeasurement sequencesMSAKF algorithmnavigation signal-tracking modelnovel adaptive Kalman filterrecursive covariance estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Stochastic learning and adaptive control (93E35)

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Cited in

(2)

• An enhanced adaptive Kalman filtering for linear systems with inaccurate noise statistics
• Q-learning for noise covariance adaptation in extended Kalman filter

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