DocumentCode
966999
Title
A new structure of recursive estimator
Author
Chow, B.S. ; Birkemeier, William P.
Author_Institution
Dept. of Electr. & Comput. Eng., Wisconsin Univ., Madison, WI, USA
Volume
34
Issue
5
fYear
1989
fDate
5/1/1989 12:00:00 AM
Firstpage
586
Lastpage
572
Abstract
A novel structure of a linear recursive estimator minimizing the mean square error is derived for a system with a multiplicative noise in the measurement model. The conventional form of a recursive estimator (the new estimate is a linear combination of the new data and the previous estimate) is not appropriate for the above system. In contrast, according to presented form of estimator, the new estimate and the new innovation, which is recursively obtained by a linear combination of the new data, the previous data, and the previous innovation
Keywords
filtering and prediction theory; parameter estimation; signal processing; filtering; linear recursive estimator; mean square error; multiplicative noise; parameter estimation; Control theory; Cost function; Differential equations; Dynamic programming; Mean square error methods; Noise measurement; Optimal control; Recursive estimation; Stochastic processes; Technological innovation;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.24222
Filename
24222
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