THE KALMAN-BUCY FILTER ACCURACY IN THE GUARANTEED PARAMETER-ESTIMATION PROBLEM WITH UNCERTAIN STATISTICS

被引：7
|
作者：
MATASOV, AI
机构：
[1] Institute of Mechanics, Moscow State University
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1994年 / 39卷 / 03期
关键词：
D O I：
10.1109/9.280777
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The guaranteed parameter estimation problem for a linear dynamical system with uncertain disturbance statistics is considered. The estimate of the Kalman-Bucy filter nonoptimality degree is constructed. It is based on the duality theory. This estimate is determined by the Kalman-Bucy filter characteristics only and can be calculated without knowledge of the accurate solution of the optimal guaranteed estimation problem.
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页码：635 / 639
页数：5
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