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An adaptive Kalman filter based on multiple fading factors. (Chinese. English summary) Zbl 1313.93184

Summary: A scalar fading factor is calculated in the existing adaptive fading Kalman filters and each filtering channel just gets the same adjustments, which is unfavorable for improving the filtering accuracy. Aimed at this issue, a new method based on the estimate covariance and the innovation covariance estimator is proposed. A set of innovation covariance estimators based on the limited memory index weighted method works in parallel to calculate the fading factors and then the factors are distributed to each filtering channel according to the estimate covariance to improve the performance of the adaptive Kalman filter. Simulation results show the effectiveness of the proposed method.

MSC:

93E11 Filtering in stochastic control theory
93C40 Adaptive control/observation systems
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