Multistage Estimation of Dynamical and Colored Noise States in Continuous-Time Linear Systems.

Abstract

This paper extends Friedland's bias estimation technique to the problem of estimating dynamical states and colored noise states. An exact multistage decomposition is derived not only for the state estimation equations, but also for the associated error covariance equations. Additionally, a second-order suboptimal multistage estimator is derived using a perturbation technique. Whereas a high-order matrix Riccati equation must be solved when the exact results are used, a matrix Riccati equation, of the dimension of the colored noise states, must be solved when the suboptimal results are used.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1977
Accession Number
ADA050272

Entities

People

  • H. D. Washburn
  • J. M. Mendel

Organizations

  • University of Southern California

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • California
  • Computations
  • Covariance
  • Decomposition
  • Differential Equations
  • Equations
  • Equations Of State
  • Estimators
  • Linear Differential Equations
  • Measurement
  • Optimal Estimators
  • Riccati Equation
  • Scientific Research
  • Universities

Readers

  • Approximation Theory.
  • Linear Algebra
  • Parallel and Distributed Computing.