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URN:
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http://URN.fi/URN:ISBN:978-952-15-2923-8
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Title:
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Estimation of Linear Systems with Abrupt Changes of the Noise Covariances Using Variational Bayes Algorithm |
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Author:
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Pesonen, Henri; Piche, Robert |
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Publication type:
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Laitosraportti - TUT Publication series |
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Issue date:
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2012-09 |
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University:
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Tampereen teknillinen yliopisto - Tampere University of Technology |
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Faculty:
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Luonnontieteiden ja ympäristötekniikan tiedekunta – Faculty of Science and Environmental Engineering |
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Department:
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Matematiikan laitos – Department of Mathematics |
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Abstract:
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The variational Bayes method is applied to the state-space estimation problem with maneuvers or changes in the covariance of the observation noise. The resulting algorithm is an off-line batch method that can be used to provide a baseline performance estimation results for the recursive methods. In addition to batch methods we introduce a heuristic approach to make the algorithm on-line. Through simulations we show how the introduced method achieves the best accuracy out of all compared approximative estimation methods. |
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Copyright:
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This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. |