Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Kalman Filtering with Unknown Noise Covariances
RISE, Swedish ICT, SICS, Computer Systems Laboratory.ORCID iD: 0000-0002-7504-0328
2006 (English)Conference paper, Published paper (Refereed)
Abstract [en]

Since it is often difficult to identify the noise covariances for a Kalman filter, they are commonly considered design variables. If so, we can as well try to choose them so that the corresponding Kalman filter has some nice form. In this paper, we introduce a one-parameter subfamily of Kalman filters with the property that the covariance parameters cancel in the expression for the Kalman gain. We provide a simple criterion which guarantees that the implicitly defined process covariance matrix is positive definite.

Place, publisher, year, edition, pages
2006, 1. , p. 3
Keywords [en]
discrete-time linear system, process noise, measurement noise, covariance, Kalman filter, discrete Riccati equation, singular value decomposition, Moore-Penrose pseudoinverse
National Category
Computer and Information Sciences
Identifiers
URN: urn:nbn:se:ri:diva-21167OAI: oai:DiVA.org:ri-21167DiVA, id: diva2:1041201
Conference
Reglermöte 2006
Projects
EvaluNetAvailable from: 2016-10-31 Created: 2016-10-31 Last updated: 2018-01-14Bibliographically approved

Open Access in DiVA

fulltext(97 kB)2114 downloads
File information
File name FULLTEXT01.pdfFile size 97 kBChecksum SHA-512
1a36f6819884b8e6e8817b5efcb19c3c043b7bfef761193d0416e8eb45df056f65aa1990961d41f2bad36b9eafb70d787e66e3d099ce1dcbee51104b53c21a91
Type fulltextMimetype application/pdf

Other links

http

Search in DiVA

By author/editor
Nilsson, Martin
By organisation
Computer Systems Laboratory
Computer and Information Sciences

Search outside of DiVA

GoogleGoogle Scholar
Total: 2114 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 6 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
v. 2.35.2