Optimal Kalman Filtering in the Presence of Time-Correlated Process Noise

Author(s):  
Zebo Zhou ◽  
Yunlong Wu ◽  
Hua Chai
2018 ◽  
Vol 1037 ◽  
pp. 032003 ◽  
Author(s):  
B Ritter ◽  
E Mora ◽  
T Schlicht ◽  
A Schild ◽  
U Konigorski

Sensors ◽  
2021 ◽  
Vol 21 (14) ◽  
pp. 4823
Author(s):  
Chao Tang ◽  
Chengyang He ◽  
Lihua Dou

In this article, a multisensor joint localization system is proposed based on modified cubature Kalman filtering, which aims to improve the accuracy of state estimation under a moderate computational burden in the presence of high process noise. Specifically, first, the covariance of process noise is matched based on adaptive filtering. The inertial measurement unit (IMU), odometer (ODM), and ultra-wideband (UWB) information acquired by the associated sensors is then employed to augment the system state and are fused to lower the influence of process noise. In the presented localization setting, all sensors (IMU/ODM/UWB) are set to work in parallel under the federated Kalman filter (FKF) framework, which can correct the cumulative error of the internal sensor and and can improve the computational efficiency. Two sets of numerical simulations were performed to show that the proposed method can obtain accurate state estimation with a slightly increased computational burden.


2017 ◽  
Vol 2017 ◽  
pp. 1-9 ◽  
Author(s):  
Qiongbin Lin ◽  
Qiuhua Liu ◽  
Tianyue Lai ◽  
Wu Wang

The filter problem with missing value for genetic regulation networks (GRNs) is addressed, in which the noises exist in both the state dynamics and measurement equations; furthermore, the correlation between process noise and measurement noise is also taken into consideration. In order to deal with the filter problem, a class of discrete-time GRNs with missing value, noise correlation, and time delays is established. Then a new observation model is proposed to decrease the adverse effect caused by the missing value and to decouple the correlation between process noise and measurement noise in theory. Finally, a Kalman filtering is used to estimate the states of GRNs. Meanwhile, a typical example is provided to verify the effectiveness of the proposed method, and it turns out to be the case that the concentrations of mRNA and protein could be estimated accurately.


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