Noise Covariance Matrices Estimation for Systems with Time-Varying Availability of Sensors

13th European Workshop on Advanced Control and Diagnosis

Kost, Oliver^1 ; Duník, Jindich^1 ; Straka, Ondej^1

European Centre of Excellence, NTIS and Department of Cybernetics Faculty of Applied Sciences, University of West Bohemia Univerzit8, Pilsen

306 14, Czech Republic^1

关键词: Autocovariances;    Linear matrix equations;    Noise covariance;    Set of sensors;    State;    space models;    Time varying;    Time-varying availability;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/783/1/012059/pdf
DOI  :  10.1088/1742-6596/783/1/012059

来源: IOP

【 摘 要 】

The paper deals with the estimation of the noise covariance matrices of a time-varying system described by a state-space model with a time-varying set of sensors. In particular, the measurement difference autocovariance method, is proposed. The method is based on a statistical analysis of linearity transformed measurements leading to a system of linear matrix equations. The theoretical results are discussed and illustrated using a numerical study.