On state estimation for linear discrete-time systems with unknown noise covariances
- 1 April 1979
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 24 (2) , 337-340
- https://doi.org/10.1109/tac.1979.1101972
Abstract
A combined detection-estimation scheme for the estimation of the state of a linear discrete-time system with unknown noise covariances is considered. It is a heuristic extension of the standard minimax scheme to the case when multiple bounds on the unknown parameters are available. The convergence of the scheme is discussed and an example is considered for illustration.Keywords
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