The damped modified iterated Kalman filter for nonlinear discrete time systems

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The modified iterated Kalman filter, which will be called MIKF for brevity, is derived from the modified Newton method to approximate a maximum likelihood estimate. The MIKF is also obtained by an iteration scheme for the extended kalman filter equations. A convergence analysis of the MIKF is given. By the damping method, we can reduce the total CPU time needed to estimate the state variables or may even obtain a convergent scheme when the MIKF diverges. A numerical example shows the effective convergence behavior of the damped MIKF.
Publisher
Kybernetika
Issue Date
1997-02
Language
English
Article Type
Article
Keywords

NEWTON METHOD; PARAMETER

Citation

KYBERNETIKA, v.33, no.4, pp.387 - 398

ISSN
0023-5954
URI
http://hdl.handle.net/10203/68510
Appears in Collection
MA-Journal Papers(저널논문)
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