Recursive self-tuning algorithm for adaptive Kalman filtering
作者:
Y.M.El-Fattah,
期刊:
IEE Proceedings D (Control Theory and Applications)
(IET Available online 1983)
卷期:
Volume 130,
issue 6
页码: 341-344
年代: 1983
DOI:10.1049/ip-d.1983.0056
出版商: IEE
数据来源: IET
摘要:
A new recursive algorithm for adaptive Kalman filtering is proposed. The signal state-space model and its noise statistics are assumed to depend on an unknown parameter taking values in a subset [', '] of Rs. The parameter is estimated recursively using the gradient of the innovation sequence of the Kalman filter. The unknown parameter is replaced by its current estimate in the Kalman-filtering algorithm. The asymptotic properties of the adaptive Kalman filter are discussed.
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