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Modified extended Kalman filtering and a real-time parallel algorithm for system parameter identification

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3 Author(s)
C. K. Chui ; Dept. of Math., Texas A&M Univ., College Station, TX, USA ; G. Chen ; H. C. Chui

A modification of the extended Kalman filter (EKF) algorithm, which is called MEKF for short, it introduced. The modification is achieved by an improved linearization procedure. For this purpose, a parallel computational scheme is recommended, and it has immediate applications to identifying unknown system parameters of time-varying, linear, stochastic state-space models in real time. It should be noted that just like the EKF, the MEKF is also ad hoc in the sense that it is a real-time approximation method. Numerical examples with computer simulation are included to demonstrate the effectiveness of this procedure as compared to the EKF algorithm

Published in:

IEEE Transactions on Automatic Control  (Volume:35 ,  Issue: 1 )