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自动化与信息科学期刊

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ISSN 打印: 1064-2315

ISSN 在线: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

A Priori Choice of Covariance Matrices of Model Noise under A Priori Uncertainty

卷 30, 册 6, 1998, pp. 115-123
DOI: 10.1615/JAutomatInfScien.v30.i6.120
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摘要

For the stationary regime of work of the Kalman filter, the problem on the a priori choice of the covariance matrix of state model noise of a linear dynamical system is solved. The proposed method for selection of the desired value of the covariance matrix does not require the processing of measurement of information and guarantees the minimization of the maximal deviation of covariance matrices of optimal estimation errors from their real values.

参考文献
  1. Leondes, C. T., Control and Dynamic Systems.

  2. Boguslovskii, I. A., Prikladnye zadachi fil'tratsii i upravleniya (Applied Filtration and Control Problems).

  3. Zgurovskii, M. Z. and Podladchikov, V. N., Analiticheskie metody kalmanovskoi fil'tratsii dlya sistem s apriornoi neopredelennost'yu (Analytic Methods of Kalman Filtration for System with a Priori Uncertainty).

  4. Kurzhanskii, A. B., Identification Problem: Theory of Guaranteed Estimators.

  5. Kuntsevich, V. M., Synthesis of the Robust Control of Systems with Time-Dependent Parameters under Constantly Acting Perturbations.

  6. Horn R. A. and Johndson C. R., Matrix Analysis.

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