Recursive filtering with random parameter matrices, multiple fading measurements and correlated noises

Automatica

Volumn 49, Issue 11, 2013, Pages 3440-3448

  Hu, Jun ^a,b   Wang, Zidong ^c,d   Gao, Huijun ^a,e  

^a HARBIN INSTITUTE OF TECHNOLOGY   (China)

^b HARBIN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^c BRUNEL UNIVERSITY   (United Kingdom)

^d TSINGHUA UNIVERSITY   (China)

^e KING ABDULAZIZ UNIVERSITY   (Saudi Arabia)

Author keywords

Autocorrelation and cross correlation; Multiple fading measurements; Random parameter matrix; Recursive filtering; Stochastic nonlinearity

Indexed keywords

BERNOULLI DISTRIBUTIONS; CROSS CORRELATIONS; DISCRETE DISTRIBUTION; NON-LINEAR STOCHASTIC SYSTEMS; RANDOM PARAMETERS; RECURSIVE COMPUTATION; RECURSIVE FILTERING; STOCHASTIC NONLINEARITIES;

MATRIX ALGEBRA; NONLINEAR FILTERING; PROBABILITY DISTRIBUTIONS; WHITE NOISE;

PARAMETER ESTIMATION;

EID: 84885656559     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2013.08.021     Document Type: Article

References (39)

1. M.V. Basin, M.A. Alcorta-Garcia, and A. Alanis-Duran Optimal filtering for linear systems with state and multiple observation delays International Journal of Systems Science 39 5 2008 547 555
2. M.V. Basin, and D. Calderon-Alvarez Optimal filtering for incompletely measured polynomial systems with multiplicative noises Circuits, Systems, and Signal Processing 28 2 2009 223 239
3. M.V. Basin, J. Perez, and M. Skliar Optimal filtering for polynomial system states with polynomial multiplicative noise International Journal of Robust and Nonlinear Control 16 6 2006 303 314
4. M.V. Basin, and M. Pinsky On impulse and continuous observation control design in Kalman filtering problem Systems & Control Letters 36 3 1999 213 219
5. ∞ filtering for nonlinear polynomial systems with multiplicative noise Journal of the Franklin Institute 347 9 2010 1740 1754
6. R. Caballero-Águila, A. Hermoso-Carazo, J.D. Jiménez- López, J. Linares-Pérez, and S. Nakamori Recursive estimation of discrete-time signals from nonlinear randomly delayed observations Computers and Mathematics with Applications 58 6 2009 1160 1168
7. W.L. De Koning Optimal estimation of linear discrete-time systems with stochastic parameters Automatica 20 1 1984 113 115
8. S. Dey, A.S. Leong, and J.S. Evans Kalman filtering with faded measurements Automatica 45 10 2009 2223 2233
9. J. Feng, Z. Wang, and M. Zeng Optimal robust non-fragile Kalman-type recursive filtering with finite-step autocorrelated noises and multiple packet dropouts Aerospace Science and Technology 15 6 2011 486 494
10. J. Feng, Z. Wang, and M. Zeng Distributed weighted robust Kalman filter fusion for uncertain systems with autocorrelated and cross-correlated noises Information Fusion 14 1 2013 78 86
11. Fu, A.; Zhu, Y.; & Song, E. (2008). The optimal Kalman type state estimator with multi-step correlated process and measurement noises. In The 2008 international conference on embedded software and systems (pp. 215-220).
12. A. Hermoso-Carazo, and J. Linares-Pérez Nonlinear estimation applying an unscented transformation in systems with correlated uncertain observations Applied Mathematics and Computation 217 20 2011 7998 8009
13. R.A. Horn, and C.R. Johnson Topic in matrix analysis 1991 Cambridge University Press New York
14. F.O. Hounkpevi, and E. Yaz Minimum variance generalized state estimators for multiple sensors with different delay rates Signal Processing 87 4 2007 602 613
15. J. Hu, Z. Wang, H. Gao, and Lampros K. Stergioulas Extended Kalman filtering with stochastic nonlinearities and multiple missing measurements Automatica 48 9 2012 2007 2015
16. J. Hu, Z. Wang, B. Shen, and H. Gao Gain-constrained recursive filtering with stochastic nonlinearities and probabilistic sensor delays IEEE Transactions on Signal Processing 61 5 2013 1230 1238
17. D.H. Jacobson A general result in stochastic optimal control of nonlinear discrete-time systems with quadratic performance criteria Journal of Mathematical Analysis and Applications 47 1 1974 153 161
18. A.G. Kallapur, I.R. Petersen, and S.G. Anavatti A discrete-time robust extended Kalman filter for uncertain systems with sum quadratic constraints IEEE Transactions on Automatic Control 54 4 2009 850 854
19. S. Kluge, K. Reif, and M. Brokate Stochastic stability of the extended Kalman filter with intermittent observations IEEE Transactions on Automatic Control 55 2 2010 514 518
20. A.S. Leong, S. Dey, G.N. Nair, and P. Sharma Power allocation for outage minimization in state estimation over fading channels IEEE Transactions on Signal Processing 59 7 2011 3382 3397
21. ∞ positive filtering for positive linear discrete-time systems: an augmentation approach IEEE Transactions on Automatic Control 55 10 2010 2337 2342
22. Y. Luo, Y. Zhu, D. Luo, J. Zhou, E. Song, and D. Wang Globally optimal multisensor distributed random parameter matrices Kalman filtering fusion with applications Sensors 8 12 2008 8086 8103
23. S.R. Roger Alpha-beta filter with correlated measurement noise IEEE Transactions on Aerospace and Electronic Systems 23 4 1987 592 594
24. H 2 filtering in networked control systems with multiple packet dropout IEEE Transactions on Automatic Control 52 8 2007 1508 1513
25. P. Shi, E.K. Boukas, and R.K. Agarwal Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters IEEE Transactions on Automatic Control 44 8 1999 1592 1597
26. ∞, and nonlinear approaches 2006 John Wiley & Sons
27. B. Sinopoli, L. Schenato, M. Franceschetti, K. Poolla, M.I. Jordan, and S.S. Sastry Kalman filtering with intermittent observations IEEE Transactions on Automatic Control 49 9 2004 1453 1464
28. E. Song, Y. Zhu, J. Zhou, and Z. You Optimal Kalman filtering fusion with cross-correlated sensor noises Automatica 43 8 2007 1450 1456
29. S. Sun, L. Xie, and W. Xiao Optimal full-order and reduced-order estimators for discrete-time systems with multiple packet dropouts IEEE Transactions on Signal Processing 56 8 2008 4031 4038
30. S. Sun, L. Xie, W. Xiao, and N. Xiao Optimal filtering for systems with multiple packet dropouts IEEE Transactions on Circuits and Systems II: Express Briefs 55 7 2008 695 699
31. F. Wang, and V. Balakrishnan Robust Kalman filters for linear time-varying systems with stochastic parametric uncertainties IEEE Transactions on Signal Processing 50 4 2002 803 813
32. ∞ filtering with missing measurements and quantization effects IEEE Transactions on Automatic Control 58 7 2013 1707 1718
33. ∞ filtering with randomly occurring sensor saturations and missing measurements Automatica 48 3 2012 556 562
34. ∞ filtering for stochastic time-delay systems with missing measurements IEEE Transactions on Signal Processing 54 7 2006 2579 2587
35. G. Wei, Z. Wang, and H. Shu Robust filtering with stochastic nonlinearities and multiple missing measurements Automatica 45 3 2009 836 841
36. E. Yaz On the optimal state estimation of a class of discrete-time nonlinear systems IEEE Transactions on Circuits and Systems 3-4 9 1987 1127 1129
37. E. Yaz, and Y. Yaz State estimation of uncertain nonlinear stochastic systems with general criteria Applied Mathematics Letters 14 5 2001 605 610
38. ∞ filtering for multiple-time-delay measurements IEEE Transactions on Signal Processing 54 5 2006 1681 1688
39. H. Zhang, G. Feng, and C. Han Linear estimation for random delay systems Systems & Control Letters 60 7 2011 450 459