DocumentCode
3468377
Title
A filter for systems with stochastic covariance
Author
Foss, B.A. ; Michelsen, Finn A.
Author_Institution
Norwegian Inst. of Technol., Trondheim Univ., Norway
fYear
1991
fDate
11-13 Dec 1991
Firstpage
3088
Abstract
A Kalman filter for systems with stochastic process noise covariance is suggested. This includes a suggested measurement model for the covariance measurement. It is assumed that the stochastic covariance is generated by a known state-space model driven by Gaussian white noise. The suggested Kalman filter has a partitioned structure. Simulation results are presented
Keywords
Kalman filters; filtering and prediction theory; noise; stochastic processes; Gaussian white noise; Kalman filter; covariance measurement; partitioned structure; state-space model; stochastic covariance; stochastic process noise covariance; Chemical industry; Covariance matrix; Filters; Linear systems; Space technology; Stochastic processes; Stochastic resonance; Stochastic systems; Vehicle dynamics; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location
Brighton
Print_ISBN
0-7803-0450-0
Type
conf
DOI
10.1109/CDC.1991.261119
Filename
261119
Link To Document