Title :
The Kalman-Bucy filter accuracy in the guaranteed estimation problem
Author :
Bobrick, G.I. ; Golovan, A.A. ; Matasov, A.I.
Author_Institution :
Inst. of Mech., Moscow State Univ., USSR
Abstract :
The optimal guaranteed a priori estimation problem is considered. The Kalman-Bucy filter is used for the approximate solution of this problem. An analytical estimate for the nonoptimality degree of the Kalman-Bucy filter is obtained. This estimate is determined solely by the Kalman-Bucy filter characteristics. Thus the Kalman-Bucy filter efficiency can be established without accurate solution of the difficult optimal guaranteed estimation problem
Keywords :
Kalman filters; filtering and prediction theory; identification; Kalman-Bucy filter accuracy; guaranteed estimation problem; nonoptimality degree; Equations; Estimation error; Filters; Mathematical programming; Noise measurement; Parameter estimation; Robustness; Testing; Vectors; Yield estimation;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261114
