Title :
A new structure of recursive estimator
Author :
Chow, B.S. ; Birkemeier, William P.
Author_Institution :
Dept. of Electr. & Comput. Eng., Wisconsin Univ., Madison, WI, USA
fDate :
5/1/1989 12:00:00 AM
Abstract :
A novel structure of a linear recursive estimator minimizing the mean square error is derived for a system with a multiplicative noise in the measurement model. The conventional form of a recursive estimator (the new estimate is a linear combination of the new data and the previous estimate) is not appropriate for the above system. In contrast, according to presented form of estimator, the new estimate and the new innovation, which is recursively obtained by a linear combination of the new data, the previous data, and the previous innovation
Keywords :
filtering and prediction theory; parameter estimation; signal processing; filtering; linear recursive estimator; mean square error; multiplicative noise; parameter estimation; Control theory; Cost function; Differential equations; Dynamic programming; Mean square error methods; Noise measurement; Optimal control; Recursive estimation; Stochastic processes; Technological innovation;
Journal_Title :
Automatic Control, IEEE Transactions on
