Modeling and estimation of a class of dynamic multiscale system subject to colored noise

Author

Cui, Peiling ; Pan, Quan ; Zhang, Hongcai ; Li, Junhong

Author_Institution

Dept. of Autom. Control, Northwestern Polytech. Univ., Xi´´an, China

Volume

2

fYear

2004

fDate

17-21 May 2004

Abstract

In this paper, the modeling and estimation of a class of dynamic multiscale system, subject to colored state equation noise and measurement equation noise, is proposed. The state equation is whitened firstly and then the measurement equation. The state space projection equation is used to link the scales, then a new system model is built. The new model is in a form suitable for the application of the Kalman filter equations. A Haar-wavelet-based model and estimation algorithm are given. Monte Carlo simulation results demonstrate that the proposed algorithm is effective and powerful in this kind of multiscale estimation problem.

Keywords

Haar transforms; Kalman filters; Monte Carlo methods; sensor fusion; state estimation; state-space methods; Haar-wavelet-based model; Kalman filter; Monte Carlo simulation; colored state equation noise; dynamic multiscale system; measurement equation noise; multiscale system estimation; multiscale system modeling; scale linking; state equation whitening; state space projection equation; Colored noise; Frequency; Noise measurement; Partial differential equations; Power system modeling; Sampling methods; Sensor systems; Signal resolution; State estimation; State-space methods;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 2004. Proceedings. (ICASSP '04). IEEE International Conference on

ISSN

1520-6149

Print_ISBN

0-7803-8484-9

Type

conf

DOI

10.1109/ICASSP.2004.1326407

Filename

1326407