On Kalman filtering for conditionally Gaussian systems with random matrices

DOI10.1016/0167-6911(89)90106-0zbMath0697.93058OpenAlexW1986019586MaRDI QIDQ912064

Jan H. van Schuppen, P. R. Kumar, Chen, Hanfu

Publication date: 1989

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/1636

zbMATH Keywords

recursive identificationparameter estimationadaptive controlKalman filteradditive white Gaussian noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12)

Related Items (7)

Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty ⋮ The problem of pole-zero cancellation in transfer function identification and application to adaptive stabilization ⋮ Stochastic analysis and control of real-time systems with random time delays ⋮ Stochastic optimal control and analysis of stability of networked control systems with long delay. ⋮ Peak covariance stability of a random Riccati equation arising from Kalman filtering with observation losses ⋮ Randomized algorithms for the synthesis of cautious adaptive controllers ⋮ Recent results on least squares-based adaptive control of linear stochastic systems in white noise.

Cites Work

• Consistency in least-squares estimation: A Bayesian approach
• The zero divisor problem of multivariable stochastic adaptive control
• Convergence of adaptive control schemes using least-squares parameter estimates
• On consistency for the method of least squares using martingale theory
• Conditional Means and Covariances of Normal Variables with Singular Covariance Matrix
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