Title :
Model-free construction of the Kalman filter based on measurement signals
Author :
Kitaguchi, Koichi ; Kawamura, Yoshiaki
Author_Institution :
Osaka Electro-Commun. Univ., Japan
Abstract :
A model free date-based design procedure of the time-invariant Kalman filter of unknown systems is given by a date-based solution of the Riccati equation. The convergence proof of the procedure to the Kalman filter is given together with a simulation result.
Keywords :
Kalman filters; Riccati equations; convergence; identification; linear quadratic control; measurement theory; stochastic systems; Kalman filter; LQ regulator; Riccati equation; convergence proof; measurement signals; model free date-based design procedure; model-free construction; simulation result; stochastic system; time-invariant Kalman filter; unknown systems; Algorithm design and analysis; Gain measurement; Kalman filters; Process design; Regulators; Riccati equations; State estimation; Stochastic systems; Technological innovation; White noise;
Conference_Titel :
SICE 2002. Proceedings of the 41st SICE Annual Conference
Print_ISBN :
0-7803-7631-5
DOI :
10.1109/SICE.2002.1195564
