Title :
Cramer-rao bounds for special nonlinear filtering problems
Author_Institution :
State Res. Center of Russia - Central Sci. & Res. Inst. Elektropribor, St. Petersburg, Russia
fDate :
Aug. 31 1999-Sept. 3 1999
Abstract :
Formulas have been derived to determine the exact Cramer-Rao bound. The interrelation between this bound and the solution of the covariance equation in the linearized problem for one class of problems of discrete nonlinear filtering is established. The advantages of the algorithm for calculating Cramer-Rao bounds which corresponds to these formulas are discussed. The algorithm is compared with the others formerly used.
Keywords :
covariance matrices; nonlinear filters; Cramer-Rao bounds; covariance equation; discrete nonlinear filtering; linearized problem; nonlinear filtering problems; Accuracy; Covariance matrices; Cramer-Rao bounds; Filtering; Linear matrix inequalities; Mathematical model; Cramer-Rao bound; discrete time; nonlinear filtering; optimal estimation;
Conference_Titel :
Control Conference (ECC), 1999 European
Conference_Location :
Karlsruhe
Print_ISBN :
978-3-9524173-5-5
