Performance measure for adaptive Kalman estimators
- 1 April 1970
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 15 (2) , 249-250
- https://doi.org/10.1109/tac.1970.1099434
Abstract
An on-line performance measure for adaptive Kalman estimators is derived which is shown to be an optimal mean-square estimate of actual system performance. The proposed measure utilizes quantities readily available from the adaptive estimator, and hence a minimum of additional computational effort is required for its evaluation.Keywords
This publication has 3 references indexed in Scilit:
- Optimal adaptive estimation of sampled stochastic processesIEEE Transactions on Automatic Control, 1965
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960