Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F15%3APU116789" target="_blank" >RIV/00216305:26620/15:PU116789 - isvavai.cz</a>
Result on the web
<a href="http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7403002" target="_blank" >http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7403002</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/CDC.2015.7403002" target="_blank" >10.1109/CDC.2015.7403002</a>
Alternative languages
Result language
angličtina
Original language name
Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution
Original language description
A novel growing-window recursive procedure for Kalman filter comparison is proposed based on the Bayesian inference principle. This procedure is capable of processing unlimited growth of the uncertainty of the initial parameter settings, which is a characteristic of Kalman type algorithms. The present paper applies the suggested procedure to assess the degree of support for the state point estimates generated by Kalman filters differing in their system model descriptions. The algebraic form of the comparison algorithm covers the situation when the covariance of the measurement noise is known as well as is unknown and the normalized covariance matrix of the process noise is always available. In this respect, the Kalman filter is formulated here as recursive learning of the sufficient statistics of the Normal and Normal-inverse-Wishart distributions.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
54th IEEE Conference on Decision and Control
ISBN
978-1-4799-7884-7
ISSN
0743-1546
e-ISSN
—
Number of pages
6
Pages from-to
5008-5013
Publisher name
Institute of electrical and electronics engineers inc.
Place of publication
Neuveden
Event location
Osaka
Event date
Dec 15, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000381554505033