Title :
Input-adaptive Kalman-Bucy filtering
Author_Institution :
Institut für Dynamik der Flugsysteme, Oberpfaffenhofen, West Germany
fDate :
2/1/1970 12:00:00 AM
Abstract :
The theory of nonlinear filtering (Stratonovitch, Kushner, and Bucy) is applied 1) to real-time identification of the covariance matrix of the input noise in the process model used by Kalman and Bucy [1] and 2) to adaptive mechanization of the matrix Riccati equation and the gain matrix in the Kalman-Bucy filter.
Keywords :
Adaptive Kalman filtering; Nonlinear filtering; Adaptive filters; Covariance matrix; Differential equations; Filtering theory; Kalman filters; Noise measurement; Nonlinear equations; Riccati equations; State estimation; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1970.1099350
