DocumentCode :
802166
Title :
A new method of recursive estimation in discrete linear systems
Author :
Kashyap, Rekha
Author_Institution :
Purdue University, Lafayette, IN, USA
Volume :
15
Issue :
1
fYear :
1970
fDate :
2/1/1970 12:00:00 AM
Firstpage :
18
Lastpage :
24
Abstract :
Let the measurement 
at instant 
be of form 
where 
is the noise and 
is the signal obeying a system of coupled linear difference equations. A method is given for computing the gains of the predictor and filter for the signal and the corresponding state 
. The gains are computed recursively from the previous gains without involving the covariance matrix of the state. The computational advantages of the scheme are also discussed.
at instant be of form where is the noise and is the signal obeying a system of coupled linear difference equations. A method is given for computing the gains of the predictor and filter for the signal and the corresponding state . The gains are computed recursively from the previous gains without involving the covariance matrix of the state. The computational advantages of the scheme are also discussed.Keywords :
Linear systems, stochastic discrete-time; State estimation; Covariance matrix; Difference equations; Filters; Least squares approximation; Linear systems; Noise measurement; Recursive estimation; Smoothing methods; Technological innovation; Vectors;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1970.1099354
Filename :
1099354
Link To Document :
