Title :
On state estimation for linear discrete-time systems with unknown noise covariances
Author :
Tugnait, J.K. ; Haddad, A.H.
Author_Institution :
University of Iowa, Iowa City, IA, USA
fDate :
4/1/1979 12:00:00 AM
Abstract :
A combined detection-estimation scheme for the estimation of the state of a linear discrete-time system with unknown noise covariances is considered. It is a heuristic extension of the standard minimax scheme to the case when multiple bounds on the unknown parameters are available. The convergence of the scheme is discussed and an example is considered for illustration.
Keywords :
Linear systems, stochastic discrete-time; State estimation; Adaptive estimation; Convergence; Gaussian noise; H infinity control; Linear systems; Minimax techniques; Noise robustness; State estimation; Uncertainty; Yield estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1979.1101972
