DocumentCode
802131
Title
Input-adaptive Kalman-Bucy filtering
Author
Brammer, K.
Author_Institution
Institut für Dynamik der Flugsysteme, Oberpfaffenhofen, West Germany
Volume
15
Issue
1
fYear
1970
fDate
2/1/1970 12:00:00 AM
Firstpage
157
Lastpage
158
Abstract
The theory of nonlinear filtering (Stratonovitch, Kushner, and Bucy) is applied 1) to real-time identification of the covariance matrix of the input noise in the process model used by Kalman and Bucy [1] and 2) to adaptive mechanization of the matrix Riccati equation and the gain matrix in the Kalman-Bucy filter.
Keywords
Adaptive Kalman filtering; Nonlinear filtering; Adaptive filters; Covariance matrix; Differential equations; Filtering theory; Kalman filters; Noise measurement; Nonlinear equations; Riccati equations; State estimation; Stochastic processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1970.1099350
Filename
1099350
Link To Document