Computer Science – Information Theory
Scientific paper
2006-08-18
Computer Science
Information Theory
4 figures
Scientific paper
This paper considers the Linear Minimum Variance recursive state estimation for the linear discrete time dynamic system with random state transition and measurement matrices, i.e., random parameter matrices Kalman filtering. It is shown that such system can be converted to a linear dynamic system with deterministic parameter matrices but state-dependent process and measurement noises. It is proved that under mild conditions, the recursive state estimation of this system is still of the form of a modified Kalman filtering. More importantly, this result can be applied to Kalman filtering with intermittent and partial observations as well as randomly variant dynamic systems.
Luo Dandan
Zhu Yunmin
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