A finite-horizon adaptive Kalman filter for linear systems with unknown disturbances

DOI10.1016/J.SIGPRO.2004.06.021MaRDI QIDQ956087zbMATH OpenOpenAlexFDO

Authors Yan Liang, De Xi An, Donghua Zhou, Quan Pan

Publication date 25 November 2008

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2004.06.021

zbMATH Keywords

Kalman filteringunknown exogenous inputsadaptive filteringtime-delay estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cited in

(14)

• A receding horizon Kalman FIR filter for linear continuous-time systems
• Adaptive Kalman filter for actuator fault diagnosis
• Joint state estimation for nonlinear state-space model with unknown time-variant noise statistics
• A framework for globally optimal state estimation for systems with unknown inputs. I: Transformation approach
• Adaptive divided difference filtering for simultaneous state and parameter estimation
• Adaptive stochastic disturbance accommodating control
• Estimate accuracy versus measurement cost saving in continuous time linear filtering problems
• Hierarchical fusion robust Kalman filter for clustering sensor network time-varying systems with uncertain noise variances
• Estimation of systems with statistically-constrained inputs
• Robust adaptive divided difference filter based on forgetting factors and its applications
• Limiting optimal adaptive filtering with unknown disturbance covariance
• Marginalized adaptive particle filtering for nonlinear models with unknown time-varying noise parameters
• A framework of finite-model Kalman filter with case study: MVDP-FMKF algorithm
• State estimation for jump Markov nonlinear systems of unknown measurement data covariance

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