Title :
The Kalman-Bucy filter accuracy in the guaranteed parameter estimation problem with uncertain statistics
Author :
Matasov, Alexander I.
Author_Institution :
Inst. of Mech., Moscow State Univ., Russia
fDate :
3/1/1994 12:00:00 AM
Abstract :
The guaranteed parameter estimation problem for a linear dynamical system with uncertain disturbance statistics is considered. The estimate of the Kalman-Bucy filter nonoptimality degree is constructed. It is based on the duality theory. This estimate is determined by the Kalman-Bucy filter characteristics only and can be calculated without knowledge of the accurate solution of the optimal guaranteed estimation problem
Keywords :
Kalman filters; duality (mathematics); linear systems; parameter estimation; statistics; Kalman-Bucy filter accuracy; duality theory; guaranteed parameter estimation; linear dynamical system; nonoptimality degree; uncertain disturbance statistics; Estimation theory; Filters; Hilbert space; Mathematical programming; Parameter estimation; Statistics; Stochastic processes; Upper bound; Vectors; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
