Specific optimal estimation
- 1 April 1969
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 14 (2) , 183-186
- https://doi.org/10.1109/tac.1969.1099135
Abstract
The goal of the specific optimal estimation problem is to achieve near-optimal (minimum variance) estimation using a structure that is easier to implement than the optimal solution. One chooses a reasonable configuration for the filter in which certain parameters are unspecified and then selects the parameters so that its performance is optimized. The problem is formulated as a two-point boundary-value problem resulting from consideration of the covariance of error of the estimate and application of the matrix-minimum principle. The examples presented indicate that near-optimal results can be obtained using a filter designed in this way.Keywords
This publication has 5 references indexed in Scilit:
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- The matrix minimum principleInformation and Control, 1967
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