2016
DOI: 10.3906/elk-1309-60
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An improved real-time adaptive Kalman filter with recursive noise covariance updating rules

Abstract: Abstract:The Kalman filter (KF) is used extensively for state estimation. Among its requirements are the process and observation noise covariances, which are unknown or partially known in real-life applications. Uncertain and biased values of the covariances result in KF performance degradation or divergence. Unlike previous methods, we are using the idea of the recursive estimation of the KF to develop two recursive updating rules for the process and observation covariances, respectively designed based on the… Show more

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Cited by 39 publications
(24 citation statements)
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“…44 The initial values ofē 0 and¯ 0 are zeros. For big values of N Q and N R (for example > 1000), the AKF is close to Kalman filter.…”
Section: Base Velocity Estimationmentioning
confidence: 99%
“…44 The initial values ofē 0 and¯ 0 are zeros. For big values of N Q and N R (for example > 1000), the AKF is close to Kalman filter.…”
Section: Base Velocity Estimationmentioning
confidence: 99%
“…Remote monitoring systems for cars and robots require accurate tracking of moving objects. Representative tracking algorithms include the Kalman filter [1][2][3][4][5] and its variants, such as the extended/unscented Kalman [6][7][8][9] and particle filters [10][11][12]. These can accurately track movement based on adaptive filtering by using a state-space model.…”
Section: Introductionmentioning
confidence: 99%
“…This model has been used in many applications because of its versatility, effectiveness, and simplicity. However, in almost conventional tracking systems, the selection of process noise (zero-mean white noise in the dynamic model) is conducted empirically [4,6,8]. This is because conventional studies tend to assume that process noise takes one of a limited number of forms, which is known as appropriate selections.…”
Section: Introductionmentioning
confidence: 99%
“…This type of filters can be mainly divided into innovation-based ones and the ones using multiple models [ 21 ]. Innovation-based filters [ 21 , 22 , 23 , 24 ] adopt covariance matching method or maximum likelihood estimation to modify the statistic of the process noise. Drawbacks, such as heavy computation burden, non-positive matrix, and offline estimation prevent these methods from being utilized in reality.…”
Section: Introductionmentioning
confidence: 99%