• DocumentCode
    1069220
  • 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
  • Volume
    39
  • Issue
    3
  • fYear
    1994
  • fDate
    3/1/1994 12:00:00 AM
  • Firstpage
    635
  • Lastpage
    639
  • 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;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/9.280777
  • Filename
    280777
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1069220