Indirect error control for adaptive filtering (Q2702722)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Indirect error control for adaptive filtering |
scientific article |
Statements
18 September 2001
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adaptive filtering
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Kalman filtering
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unknown covariances
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Indirect error control for adaptive filtering (English)
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The paper studies discrete-time Kalman filtering for systems with unknown state and observation noises. One proposes a performance index which depends only on the observations and on the set of possible values for the covariance parameters; it is minimized simultaneously with the estimation error. A numerical example is discussed.NEWLINENEWLINEFor the entire collection see [Zbl 0954.00041].
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