Optimal linear filter design for systems with correlation in the measurement matrices and noises: recursive algorithm and applications
Metadatos
Mostrar el registro completo del ítemEditorial
Taylor & Francis
Materia
Random parameter matrices Correlated noises Least-squares estimation
Fecha
2014Referencia bibliográfica
Linares-Pérez, J., Caballero-Águila, R., García-Garrido, I., (2014), Optimal linear filter design for systems with correlation in the measurement matrices and noises: recursive algorithm and applications, International Journal of Systems Science, 45:7, 1548-1562, DOI: https://doi.org/10.1080/00207721.2014.909093
Patrocinador
Ministerio de Ciencia e Innovación [FPU programme] [grant number MTM2011-24718]Resumen
This paper addresses the optimal least-squares linear estimation problem for a class of discrete-time stochastic systems with random parameter matrices and correlated additive noises. The system presents the following main features: (1) one-step correlated and cross-correlated random parameter matrices in the observation equation are assumed; (2) the process and measurement noises are one-step autocorrelated and two-step cross-correlated. Using an innovation approach and these correlation assumptions, a recursive algorithm with a simple computational procedure is derived for the optimal linear filter. As a significant application of the proposed results, the optimal recursive filtering problem in multi-sensor systems with missing measurements and random delays can be addressed. Numerical simulation examples are used to demonstrate the feasibility of the proposed filtering algorithm, which is also compared with other filters that have been proposed.