DocumentCode
1102425
Title
The Kalman-Bucy filter in the guaranteed estimation problem
Author
Golovan, Andrey ; Matasov, Alexander
Author_Institution
Inst. of Mech., Moscow State Univ., Russia
Volume
39
Issue
6
fYear
1994
fDate
6/1/1994 12:00:00 AM
Firstpage
1282
Lastpage
1286
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.293197
Filename
293197
Link To Document