The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.
Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
Abstract
The extended Kalman filter is an approximate filter for nonlinear systems, based on first-order linearization. Its use for the joint parameter and state estimation problem for linear systems with unknown parameters is well known and widely spread. Here a convergence analysis of this method is given. It is shown that in general, the estimates may be biased or divergent and the causes for this are displayed. Some common special cases where convergence is guaranteed are also given. The analysis gives insight into the convergence mechanisms and it is shown that with a modification of the algorithm, global convergence results can be obtained for a general case. The scheme can then be interpreted as maximization of the likelihood function for the estimation problem, or as a recursive prediction error algorithm.
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Citations
Cites
Stochastic Processes and Filtering Theory
(1970) · Mathematics in Science and Engineering · doi:10.1016/s0076-5392(09)x6022-4 · Cited by 7,302
System identification—A survey
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Analysis of recursive stochastic algorithms
Ljung, L. (1977) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1977.1101561 · Cited by 1,467
Self-citationMaximum likelihood identification of Gaussian autoregressive moving average models
AKAIKE, H. (1973) · Biometrika · doi:10.1093/biomet/60.2.255 · Cited by 1,444
On the identification of variances and adaptive Kalman filtering
Mehra, R. (1970) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1970.1099422 · Cited by 1,415
On the estimation of state variables and parameters for noisy dynamic systems
Cox, H. (1964) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1964.1105635 · Cited by 475
Convergence analysis of parametric identification methods
Ljung, L. (1978) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1978.1101840 · Cited by 452
Self-citationEstimation of noise covariance matrices for a linear time-varying stochastic process
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Metadata
- Authors
- Ljung, L.
- Venue
- IEEE Transactions on Automatic Control
- Published
- 1979-02
- Volume
- 24
- Issue
- 1
- Pages
- 36-50
- ISSN
- 0018-9286 (ISSN-L)
- OpenAlex
- W1981364618
- Cited by
- 1,162
- References
- 10
- FWCI
- 18.13
- Type
- journal article
- Language
- en
- Open access
- closed
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