Title :
A filter for systems with stochastic covariance
Author :
Foss, B.A. ; Michelsen, Finn A.
Author_Institution :
Norwegian Inst. of Technol., Trondheim Univ., Norway
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;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261119
