About an algorithm of the observation matrix optimization

Author

Denisov, V.I.

fYear

2002

fDate

2002

Firstpage

236

Lastpage

239

Abstract

The paper presents an algorithm of the observation matrix design in order to improve quality of dynamic system state vector estimation. The nodal point is computation of the stationary solution of the Riccati equation. Two methods of such computation are presented. They allow the nonlinear equation solving to be superseded by a system of linear equations study. An example illustrating the method offered is considered.

Keywords

Riccati equations; eigenvalues and eigenfunctions; integration; least mean squares methods; linear differential equations; observers; optimisation; stochastic processes; Hamilton matrix; Riccati equation; algorithm; covariance matrix; dynamic system; eigenvalues computation; linear differential equations; linear stochastic model; minimal mean-square error; nodal point; nonlinear differential equation; nonlinear equation solving; observation matrix optimization; sequential integration; state vector estimation; stationary solution; system of linear equations; unbiased estimator; Algorithm design and analysis; Computer science; Covariance matrix; Design optimization; Mathematics; Nonlinear dynamical systems; Nonlinear equations; Riccati equations; State estimation; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Science and Technology, 2002. KORUS-2002. Proceedings. The 6th Russian-Korean International Symposium on

Print_ISBN

0-7803-7427-4

Type

conf

DOI

10.1109/KORUS.2002.1028009

Filename

1028009