The Kalman-Bucy filter in the guaranteed estimation problem

1994 ◽  
Vol 39 (6) ◽  
pp. 1282-1286 ◽  
Author(s):  
A. Golovan ◽  
A. Matasov
2003 ◽  
Vol 125 (2) ◽  
pp. 229-235 ◽  
Author(s):  
N. K. Ahmedova ◽  
V. B. Kolmanovskii ◽  
A. I. Matasov

A stochastic optimal guaranteed estimation problem for dynamic delayed systems with uncertain statistics is considered. The solution of this problem reduces to a complex nonsmooth extremal problem. To obtain an approximate solution, the nonsmooth problem is replaced by a smooth one. Constructive filtering algorithms are obtained from an approximate solution of the smooth problem under the assumption that the delay is small in comparison with the observation time. Estimates for the nonoptimality levels of the proposed filtering algorithms are derived.


2021 ◽  
Vol 11 (12) ◽  
pp. 5723
Author(s):  
Chundong Xu ◽  
Qinglin Li ◽  
Dongwen Ying

In this paper, we develop a modified adaptive combination strategy for the distributed estimation problem over diffusion networks. We still consider the online adaptive combiners estimation problem from the perspective of minimum variance unbiased estimation. In contrast with the classic adaptive combination strategy which exploits orthogonal projection technology, we formulate a non-constrained mean-square deviation (MSD) cost function by introducing Lagrange multipliers. Based on the Karush–Kuhn–Tucker (KKT) conditions, we derive the fixed-point iteration scheme of adaptive combiners. Illustrative simulations validate the improved transient and steady-state performance of the diffusion least-mean-square LMS algorithm incorporated with the proposed adaptive combination strategy.


2020 ◽  
Vol 53 (2) ◽  
pp. 4955-4960
Author(s):  
C. Kawan ◽  
A. Matveev ◽  
A. Pogromsky

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