Title :
Modeling and estimation of a class of dynamic multiscale system subject to colored noise
Author :
Cui, Peiling ; Pan, Quan ; Zhang, Hongcai ; Li, Junhong
Author_Institution :
Dept. of Autom. Control, Northwestern Polytech. Univ., Xi´´an, China
Abstract :
In this paper, the modeling and estimation of a class of dynamic multiscale system, subject to colored state equation noise and measurement equation noise, is proposed. The state equation is whitened firstly and then the measurement equation. The state space projection equation is used to link the scales, then a new system model is built. The new model is in a form suitable for the application of the Kalman filter equations. A Haar-wavelet-based model and estimation algorithm are given. Monte Carlo simulation results demonstrate that the proposed algorithm is effective and powerful in this kind of multiscale estimation problem.
Keywords :
Haar transforms; Kalman filters; Monte Carlo methods; sensor fusion; state estimation; state-space methods; Haar-wavelet-based model; Kalman filter; Monte Carlo simulation; colored state equation noise; dynamic multiscale system; measurement equation noise; multiscale system estimation; multiscale system modeling; scale linking; state equation whitening; state space projection equation; Colored noise; Frequency; Noise measurement; Partial differential equations; Power system modeling; Sampling methods; Sensor systems; Signal resolution; State estimation; State-space methods;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 2004. Proceedings. (ICASSP '04). IEEE International Conference on
Print_ISBN :
0-7803-8484-9
DOI :
10.1109/ICASSP.2004.1326407
