Estimation of covariances for Kalman filter tuning using autocovariance method with Landweber iteration

Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

Authors

  • M. Riva
  • Jesús Díaz Díaz
  • M. Dagen
  • T. Ortmaier

Research Organisations

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Details

Original languageEnglish
Title of host publication14th IASTED International Symposium on Intelligent Systems and Control (ISC 2013)
Place of PublicationMarina del Ray, USA
Publication statusPublished - 2013

Abstract

Designing a Kalman filter requires knowledge about the stochastic part of the system. Thus, disturbances affecting states and measurements should be known. However, in practical application these disturbances are usually unknown. In this contribution a modification of the autocovariance least-square method is presented. This method converts the measurement and process noise covariance estimation problem into a least squares functional, which can be solved with a Landweber iteration to regularize the ill-posed problem. Then, a tuned Kalman filter gain can be calculated. A simulative evaluation is introduced to prove the method regarding robustness against modeling error and variance of the estimates.

Cite this

Estimation of covariances for Kalman filter tuning using autocovariance method with Landweber iteration. / Riva, M.; Díaz, Jesús Díaz; Dagen, M. et al.
14th IASTED International Symposium on Intelligent Systems and Control (ISC 2013). Marina del Ray, USA, 2013.

Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

Riva, M, Díaz, JD, Dagen, M & Ortmaier, T 2013, Estimation of covariances for Kalman filter tuning using autocovariance method with Landweber iteration. in 14th IASTED International Symposium on Intelligent Systems and Control (ISC 2013). Marina del Ray, USA.
Riva, M., Díaz, J. D., Dagen, M., & Ortmaier, T. (2013). Estimation of covariances for Kalman filter tuning using autocovariance method with Landweber iteration. In 14th IASTED International Symposium on Intelligent Systems and Control (ISC 2013)
Riva M, Díaz JD, Dagen M, Ortmaier T. Estimation of covariances for Kalman filter tuning using autocovariance method with Landweber iteration. In 14th IASTED International Symposium on Intelligent Systems and Control (ISC 2013). Marina del Ray, USA. 2013
Riva, M. ; Díaz, Jesús Díaz ; Dagen, M. et al. / Estimation of covariances for Kalman filter tuning using autocovariance method with Landweber iteration. 14th IASTED International Symposium on Intelligent Systems and Control (ISC 2013). Marina del Ray, USA, 2013.
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