IEEE Transactions on Aerospace and Electronic Systems · 1991 · 47 citations · 1 references
EngineeringComputer SystemsDynamical SystemsProcess ControlReal-time SystemsAdaptive ControlGaussian ProcessesKalman FilteringState EstimationState-space ModelsStochastic Differential EquationsAdaptive FilteringAdaptive Kalman FilterAdaptive State EstimationFilteringMeasurement Noise EstimationProcess Noise Estimation
A modified adaptive Kalman filtering algorithm is derived for the standard linear problem under an irregular environment where all variances of the zero-mean Gaussian white (system and observation) noises are unknown a priori. This algorithm has certain merits over various existing adaptive schemes in that it is simple, efficient, and suitable for real-time applications. An illustrative numerical example is presented.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
1
Approaches to adaptive filtering
R.К. Mehra · IEEE Transactions on Automatic Control · 1972 · 934 citations
Computing, Computational Engineering, Bayesian Data Analysis +16