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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: 2023-05-25Bibliographically approved

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Nilsson, Martin

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • 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