Noise Covariances Identification by MDM: Weighting, Recursion, and Implementation

Autor:	Kost, Oliver, Dunik, Jindrch, Straka, Ondrej
Rok vydání:	2024
Předmět:	Electrical Engineering and Systems Science - Signal Processing
Zdroj:	Oliver Kost, Jind\v{r}ich Dun\'ik, Ond\v{r}ej Straka, Noise Covariances Identification by MDM: Weighting, Recursion, and Implementation, IFAC-PapersOnLine, Volume 58, Issue 15, 2024, Pages 342-347, ISSN 2405-8963
Druh dokumentu:	Working Paper
DOI:	10.1016/j.ifacol.2024.08.552
Popis:	The problem of noise covariance matrix identification of stochastic linear time-varying state-space models is addressed. The measurement difference method (MDM) is generalized to time-varying dimensions of the measurement and control. Three MDM identification techniques that differ in weighting used in the underlying least squares method are proposed. The techniques differ in estimate quality and computational complexity. In addition, recursive forms are designed for two techniques. The performance of the proposed techniques is analyzed using two numerical examples. The implementation of techniques is enclosed with the paper. Comment: Accepted for IFAC SYSID24
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2412.06373 Zobrazit plný text záznamu View this record from Arxiv