Combined filtering and parameter estimation: Approximations and robustness

DOI10.1016/0005-1098(90)90136-6MaRDI QIDQ923033zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4066707 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A new approach to stochastic adaptive control
• Approximate and limit results for nonlinear filters with wide bandwith observation noise
• Filtering and control for wide bandwidth noise driven systems
• Nonlinear filtering for systems with random structure
• On measure transformations for combined filtering and parameter estimation in discrete time
• Optimal adaptive LQG control for systems with finite state process parameters
• Probability methods for approximations in stochastic control and for elliptic equations

Cited in

(7)

• Robust estimation iin time series: an approximation to the gaussian sum filter
• Test models for improving filtering with model errors through stochastic parameter estimation
• Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• scientific article; zbMATH DE number 6289754 (Why is no real title available?)
• Optimal parameter estimation of \(\varepsilon\)-filter employing distribution distance
• Robust estimation and filtering in the presence of bounded noise

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