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Linear Adaptive Filtering

Authors: [tex2html_wrap4418]D. Levanony, A. Bagchi (Dept. of Applied Mathematics, University of Twente, The Netherlands)

Investigator username: levanony

Category: systems and control theory

Subcategory:

Continuous time, adaptive, ML based Kalman filtering is considered. First, the geometric structure of the MLE limit parameter sets is characterized. Then, based on the geometric study, a recursive adaptive filtering scheme is derived to obtain asymptotically optimal (minimum variance) state estimates.


baron@cim.mcgill.ca