Forgetting factor Kalman filter with dependent noise processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F19%3APU134598" target="_blank" >RIV/00216305:26620/19:PU134598 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1109/CDC40024.2019.9029683" target="_blank" >http://dx.doi.org/10.1109/CDC40024.2019.9029683</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/CDC40024.2019.9029683" target="_blank" >10.1109/CDC40024.2019.9029683</a>
Alternative languages
Result language
angličtina
Original language name
Forgetting factor Kalman filter with dependent noise processes
Original language description
The paper addresses the problem of filtering the state of a normal dynamical process with a dependency between the process and the measurement noise variables in the presence of an inaccurate model description. As regards the time occurrence of the noise dependency, we discuss the dependency structure where both the variables are correlated at the same time. An adaptive formulation of the Kalman filter (KF) is designed in order to mitigate the impact of the process model uncertainty on the degradation of the filter performance. The filter we propose exploits the collaborative decision to introduce a variable forgetting factor into the time update to reduce artificially the effect of obsolete knowledge on the filtering solution. Within the decision-making rules, a loss functional quantifying the time update is constructed to optimally combine the prediction alternatives possessing the form of the normal probability density function (pdf). The result is an adjustment of the Kalman gain matrix in response to empirically confirmed performance.
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
20205 - Automation and control systems
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
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
58th Conference on Decision and Control
ISBN
978-1-7281-1397-5
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
1809-1815
Publisher name
IEEE
Place of publication
Nice, France
Event location
Nice, Francie
Event date
Dec 11, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000560779001116