Title :
The Kalman-Bucy filter in the guaranteed estimation problem
Author :
Golovan, Andrey ; Matasov, Alexander
Author_Institution :
Inst. of Mech., Moscow State Univ., Russia
fDate :
6/1/1994 12:00:00 AM
Abstract :
The optimal guaranteed a priori estimation problem is considered. The Kalman-Bucy filter is used for the approximate solving of this problem. The analytical estimate for the nonoptimality degree of the Kalman-Bucy filter is obtained. This estimate is determined by the Kalman-Bucy filter characteristics only. Thus the Kalman-Bucy filter efficiency can be established without accurate solving of the difficult optimal guaranteed estimation problem
Keywords :
Kalman filters; least squares approximations; linear systems; state estimation; Kalman-Bucy filter; nonoptimality degree; optimal guaranteed a priori estimation problem; Circuit synthesis; Circuit theory; Cybernetics; Estimation error; Feedback; Filters; Parameter estimation; Recursive estimation; Signal synthesis; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
