Subspace System Identification of the Kalman Filter
Some proofs concerning a subspace identification algorithm are presented. It is proved that the Kalman filter gain and the noise innovations process can be identified directly from known input and output data without explicitly solving the Riccati equation. Furthermore, it is in general and for colo...
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| Format: | Article |
| Language: | English |
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Norwegian Society of Automatic Control
2003-07-01
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| Series: | Modeling, Identification and Control |
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| Online Access: | http://www.mic-journal.no/PDF/2003/MIC-2003-3-1.pdf |