Publication detail

Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution

DOKOUPIL, J. PAPEŽ, M. VÁCLAVEK, P.

Original Title

Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution

Type

conference paper

Language

English

Original Abstract

A novel growing-window recursive procedure for Kalman filter comparison is proposed based on the Bayesian inference principle. This procedure is capable of processing unlimited growth of the uncertainty of the initial parameter settings, which is a characteristic of Kalman type algorithms. The present paper applies the suggested procedure to assess the degree of support for the state point estimates generated by Kalman filters differing in their system model descriptions. The algebraic form of the comparison algorithm covers the situation when the covariance of the measurement noise is known as well as is unknown and the normalized covariance matrix of the process noise is always available. In this respect, the Kalman filter is formulated here as recursive learning of the sufficient statistics of the Normal and Normal-inverse-Wishart distributions.

Keywords

Kalman filter, Bayesian methods, model comparison

Authors

DOKOUPIL, J.; PAPEŽ, M.; VÁCLAVEK, P.

RIV year

2015

Released

15. 12. 2015

Publisher

Institute of electrical and electronics engineers inc.

ISBN

978-1-4799-7884-7

Book

54th IEEE Conference on Decision and Control

ISBN

0743-1546

Periodical

54th IEEE Conference on Decision and Control

State

United States of America

Pages from

5008

Pages to

5013

Pages count

6

URL

http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7403002

BibTex

@inproceedings{BUT119580,
  author="Jakub {Dokoupil} and Milan {Papež} and Pavel {Václavek}",
  title="Comparison of Kalman filters formulated as the statistics of the Normal-inverse-Wishart distribution",
  booktitle="54th IEEE Conference on Decision and Control",
  year="2015",
  journal="54th IEEE Conference on Decision and Control",
  pages="5008--5013",
  publisher="Institute of electrical and electronics engineers inc.",
  doi="10.1109/CDC.2015.7403002",
  isbn="978-1-4799-7884-7",
  issn="0743-1546",
  url="http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7403002"
}