Combined filtering and parameter estimation: Approximations and robustness

DOI10.1016/0005-1098(90)90136-6zbMATH Open0711.93083OpenAlexW2110617742MaRDI QIDQ923033FDOQ923033

Authors: C. Visentin, Wolfgang J. Runggaldier 

Publication date: 1990

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(90)90136-6

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zbMATH Keywords

robustrecursive estimationapproximation algorithmsadaptive systemsnon-linear filteringBayes methodscombined filtering and parameter estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cites Work

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• Approximate and limit results for nonlinear filters with wide bandwith observation noise
• Optimal adaptive LQG control for systems with finite state process parameters
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• Probability methods for approximations in stochastic control and for elliptic equations
• Nonlinear filtering for systems with random structure
• Filtering and control for wide bandwidth noise driven systems
• A new approach to stochastic adaptive control
• On measure transformations for combined filtering and parameter estimation in discrete time

Cited In (7)

• Robust estimation and filtering in the presence of bounded noise
• Robust estimation iin time series: an approximation to the gaussian sum filter
• Optimal parameter estimation of \(\varepsilon\)-filter employing distribution distance
• Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
• Title not available (Why is that?)
• Test models for improving filtering with model errors through stochastic parameter estimation
• Maximum likelihood estimation via the extended covariance and combined square-root filters

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