Robust filtering of process in the stationary difference stochastic system

Robust filtering of process in the stationary difference stochastic system

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Article ID: iaor20112620
Volume: 72
Issue: 2
Start Page Number: 377
End Page Number: 392
Publication Date: Feb 2011
Journal: Automation and Remote Control
Authors: , ,
Keywords: Kalman filter, stochastic linear programme
Abstract:

A technique to construct the robust Kalman filter for process estimation in the difference linear stationary stochastic system with an unknown covariance observation error matrix was developed. Consideration was given to the algorithm of constructing the set of permissible covariance matrices from a priori statistical data. A numerical method for solution of the general minimax optimization problem was proposed; and on its basis an iterative algorithm to calculate the robust filter parameters was developed, and its convergence was proved. Results of the numerical experiment were presented.

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