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Kalman Filter for Linear Systems With Unknown Structural Parameters
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DOI：10.1109/TCSII.2021.3103609.png)
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摘要
En 中文
This brief considers Kalman filter for linear systems with unknown structural parameters. We design a Bayesian parameter identification algorithm based on maximum likelihood (ML) criterion and expectation maximization (EM). Under the identification of structural parameter, we perform the Kalman filter to estimate the states. The Kalman filter and the parameter identification algorithm are interactive to estimate the states and the structural parameters. More specifically, first, we use EM algorithm together with Kalman smoother to estimate the structural parameters. Then, on the basis of results provided by the first step, we employ the classical Kalman filter to predict and update the states, which formulates the final proposed Kalman filter. Performance analysis and simulation results verify the presented filter.
Keyword:
Kalman filters
Maximum likelihood estimation
Structural engineering
Linear systems
Estimation
Circuits and systems
Bayes methods
Kalman filter
structural parameters
smoother
linear systems
expectation maximization (EM)
期刊
I
IF:
4.9
论文数:
8.8K
被引数:
2.5W
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