Design of measurement difference autocovariance method for estimation of process and measurement noise covariances

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F18%3A43952472" target="_blank" >RIV/49777513:23520/18:43952472 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.automatica.2017.12.040" target="_blank" >http://dx.doi.org/10.1016/j.automatica.2017.12.040</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.automatica.2017.12.040" target="_blank" >10.1016/j.automatica.2017.12.040</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Design of measurement difference autocovariance method for estimation of process and measurement noise covariances

Popis výsledku v původním jazyce

The paper deals with the estimation of the process and measurement noise covariance matrices of a system described by the linear time-varying state–space model. In particular, the stress is laid on the correlation methods and a novel method, the measurement difference autocovariance method, is designed. The proposed method is based on the statistical analysis of an augmented measurement prediction error leading to a system of linear matrix equations for the elements of the noise covariance matrices. Compared to other correlation methods, the proposed method provides unbiased estimates even for a finite number of measurements. The theoretical results are discussed and illustrated in a numerical example.

Název v anglickém jazyce

Design of measurement difference autocovariance method for estimation of process and measurement noise covariances

Popis výsledku anglicky

The paper deals with the estimation of the process and measurement noise covariance matrices of a system described by the linear time-varying state–space model. In particular, the stress is laid on the correlation methods and a novel method, the measurement difference autocovariance method, is designed. The proposed method is based on the statistical analysis of an augmented measurement prediction error leading to a system of linear matrix equations for the elements of the noise covariance matrices. Compared to other correlation methods, the proposed method provides unbiased estimates even for a finite number of measurements. The theoretical results are discussed and illustrated in a numerical example.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

20205 - Automation and control systems

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

AUTOMATICA

ISSN

0005-1098

e-ISSN

—

Svazek periodika

90

Číslo periodika v rámci svazku

April 2018

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

9

Strana od-do

16-24

Kód UT WoS článku

000427217600003

EID výsledku v databázi Scopus

2-s2.0-85040310468