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Recursive self-tuning algorithm for adaptive Kalman filtering

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1 Author(s)
El-Fattah, Y.M. ; CIT Alcatel, D¿¿partment de Commutation, Lannion, France

A new recursive algorithm for adaptive Kalman filtering is proposed. The signal state-space model and its noise statistics are assumed to depend on an unknown parameter taking values in a subset [', '] of Rs. The parameter is estimated recursively using the gradient of the innovation sequence of the Kalman filter. The unknown parameter is replaced by its current estimate in the Kalman-filtering algorithm. The asymptotic properties of the adaptive Kalman filter are discussed.

Published in:

Control Theory and Applications, IEE Proceedings D  (Volume:130 ,  Issue: 6 )