Detail publikace

Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution

DOKOUPIL, J. PAPEŽ, M. VÁCLAVEK, P.

Originální název

Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

A novel growing-window recursive procedure for Kalman filter comparison is proposed based on the Bayesian inference principle. This procedure is capable of processing unlimited growth of the uncertainty of the initial parameter settings, which is a characteristic of Kalman type algorithms. The present paper applies the suggested procedure to assess the degree of support for the state point estimates generated by Kalman filters differing in their system model descriptions. The algebraic form of the comparison algorithm covers the situation when the covariance of the measurement noise is known as well as is unknown and the normalized covariance matrix of the process noise is always available. In this respect, the Kalman filter is formulated here as recursive learning of the sufficient statistics of the Normal and Normal-inverse-Wishart distributions.

Klíčová slova

Kalman filter, Bayesian methods, model comparison

Autoři

DOKOUPIL, J.; PAPEŽ, M.; VÁCLAVEK, P.

Rok RIV

2015

Vydáno

15. 12. 2015

Nakladatel

Institute of electrical and electronics engineers inc.

ISBN

978-1-4799-7884-7

Kniha

54th IEEE Conference on Decision and Control

ISSN

0743-1546

Periodikum

54th IEEE Conference on Decision and Control

Stát

Spojené státy americké

Strany od

5008

Strany do

5013

Strany počet

6

URL

http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7403002

BibTex

@inproceedings{BUT119580,
  author="Jakub {Dokoupil} and Milan {Papež} and Pavel {Václavek}",
  title="Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution",
  booktitle="54th IEEE Conference on Decision and Control",
  year="2015",
  journal="54th IEEE Conference on Decision and Control",
  pages="5008--5013",
  publisher="Institute of electrical and electronics engineers inc.",
  doi="10.1109/CDC.2015.7403002",
  isbn="978-1-4799-7884-7",
  issn="0743-1546",
  url="http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7403002"
}