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Avtomatika i Telemekhanika, 2011, Issue 2, Pages 167–182
(Mi at1293)
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This article is cited in 12 scientific papers (total in 12 papers)
Topical issue
Robust filtering of process in the stationary difference stochastic system
A. R. Pankov, E. N. Platonov, K. V. Semenikhin Moscow State Aviation Institute, Moscow, Russia
Abstract:
A technique to construct the robust Kalman filter for process estimation in the difference linear stationary stochastic system with an unknown covariance observation error matrix was developed. Consideration was given to the algorithm of constructing the set of permissible covariance matrices from a priori statistical data. A numerical method for solution of the general minimax optimization problem was proposed; and on its basis an iterative algorithm to calculate the robust filter parameters was developed, and its convergence was proved. Results of the numerical experiment were presented.
Citation:
A. R. Pankov, E. N. Platonov, K. V. Semenikhin, “Robust filtering of process in the stationary difference stochastic system”, Avtomat. i Telemekh., 2011, no. 2, 167–182; Autom. Remote Control, 72:2 (2011), 377–392
Linking options:
https://www.mathnet.ru/eng/at1293 https://www.mathnet.ru/eng/at/y2011/i2/p167
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Statistics & downloads: |
Abstract page: | 608 | Full-text PDF : | 174 | References: | 55 | First page: | 32 |
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