DocumentCode
798308
Title
Limited memory optimal filtering
Author
Jazwinski, Andrew H.
Author_Institution
Analytical Mechanics Associates, Inc., Lanham, MD, USA
Volume
13
Issue
5
fYear
1968
fDate
10/1/1968 12:00:00 AM
Firstpage
558
Lastpage
563
Abstract
Linear and nonlinear optimal filters with limited memory length are developed. The filter output is the conditional probability density function and, in the linear Gaussian case, is the conditional mean and covariance matrix where the conditioning is only on a fixed amount of most recent data. This is related to maximum-likelihood least-squares estimation. These filters have application in problems where standard filters diverge due to dynamical model errors. This is demonstrated via numerical simulations.
Keywords
Filtering; Optimal control; Control systems; Covariance matrix; Degradation; Filtering theory; Linear systems; Maximum likelihood estimation; Minimax techniques; Noise level; Nonlinear filters; State estimation;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1968.1098981
Filename
1098981
Link To Document