On the Identification of Noise Covariances and Adaptive Kalman Filtering: A New Look at a 50 Year-Old Problem

On the Identification of Noise Covariances and Adaptive Kalman Filtering: A New Look at a 50 Year-Old Problem

The Kalman filter requires knowledge of the noise statistics; however, the noise covariances are generally unknown. Although this problem has a long history, reliable algorithms for their estimation are scant, and necessary and sufficient conditions for identifiability of the covariances are in disp...

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Bibliographic Details
Main Authors: Lingyi Zhang, David Sidoti, Adam Bienkowski, Krishna R. Pattipati, Yaakov Bar-Shalom, David L. Kleinman
Format: Article
Language:English
Published: IEEE 2020-01-01
Series:IEEE Access
Subjects:
Adaptive filtering
Kalman filter
minimal polynomial
noise covariance estimation
adaptive gradient descent
Online Access:https://ieeexplore.ieee.org/document/9044358/

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