Kalman-Bucy filter in the guaranteed estimation problem
Abstract
The optimal guaranteed a priori estimation problem is considered. The Kalman-Bucy filter is used for the approximate solving of this problem. The analytical estimate for the nonoptimality degree of the Kalman-Bucy filter is obtained. This estimate is determined by the Kalman-Bucy filter characteristics only. Thus the Kalman-Bucy filter efficiency can be established without accurate solving of the difficult optimal guaranteed estimation problem.
- Publication:
-
IEEE Transactions on Automatic Control
- Pub Date:
- June 1994
- Bibcode:
- 1994ITAC...39.1282G
- Keywords:
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- Error Analysis;
- Kalman Filters;
- Least Squares Method;
- Numerical Analysis;
- Parameter Identification;
- Algorithms;
- Computation;
- Mathematical Programming;
- Optimization;
- White Noise;
- Electronics and Electrical Engineering