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Duník Jindřich and Šimandl Miroslav : Estimation of state and measurement noise covariance matrices by multi-step prediction . IFAC Proceedings Volumes (IFAC-PapersOnline), vol. 17, p. 3689-3694, International Federation of Automatic Control, [s.l.], 2008.

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Abstract

Estimation of noise covariance matrices for linear or nonlinear stochastic dynamic systems is treated. The novel off-line technique for estimation of the covariance matrices of the state and measurement noises is designed. The technique is based on the multi-step prediction error and on knowledge of the system initial condition and it takes an advantage of the well-known standard relations from the area of state estimation techniques and least square method. The theoretical results are illustrated in numerical examples.

Detail of publication

Title: Estimation of state and measurement noise covariance matrices by multi-step prediction
Author: Duník Jindřich ; Šimandl Miroslav
Language: English
Year: 2008
Type of publication: Papers in journals
Title of journal or book: IFAC Proceedings Volumes (IFAC-PapersOnline)
Číslo vydání: 17
Page: 3689 - 3694
ISSN: 1474-6670
Publisher: International Federation of Automatic Control
Address: [s.l.]
2011-03-15 16:21:30 / 2011-03-15 16:21:30 / 1

Keywords

state estimation, estimation theory, Kalman filter, prediction

BibTeX

@ARTICLE{DunikJindrich_2008_Estimationofstate,
 author = {Dun\'{i}k Jind\v{r}ich and \v{S}imandl Miroslav},
 title = {Estimation of state and measurement noise covariance matrices by multi-step prediction},
 year = {2008},
 publisher = {International Federation of Automatic Control},
 journal = {IFAC Proceedings Volumes (IFAC-PapersOnline)},
 address = {[s.l.]},
 volume = {17},
 pages = {3689-3694},
 ISSN = {1474-6670},
 note = {DOI: 10.3182/20080706-5-KR-1001.2376
ALEPH ISBN 978-3-902661-00-5},
 url = {http://www.kky.zcu.cz/en/publications/DunikJindrich_2008_Estimationofstate},
}