DocumentCode :
798308
Title :
Limited memory optimal filtering
Author :
Jazwinski, Andrew H.
Author_Institution :
Analytical Mechanics Associates, Inc., Lanham, MD, USA
Volume :
13
Issue :
5
fYear :
1968
fDate :
10/1/1968 12:00:00 AM
Firstpage :
558
Lastpage :
563
Abstract :
Linear and nonlinear optimal filters with limited memory length are developed. The filter output is the conditional probability density function and, in the linear Gaussian case, is the conditional mean and covariance matrix where the conditioning is only on a fixed amount of most recent data. This is related to maximum-likelihood least-squares estimation. These filters have application in problems where standard filters diverge due to dynamical model errors. This is demonstrated via numerical simulations.
Keywords :
Filtering; Optimal control; Control systems; Covariance matrix; Degradation; Filtering theory; Linear systems; Maximum likelihood estimation; Minimax techniques; Noise level; Nonlinear filters; State estimation;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1968.1098981
Filename :
1098981
Link To Document :
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