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Kalman Filtering with Uncertain Process and Measurement Noise Covariances with Application to State Estimation in Sensor Networks

Shi, Ling and Johansson, Karl Henrik and Murray, Richard M. (2007) Kalman Filtering with Uncertain Process and Measurement Noise Covariances with Application to State Estimation in Sensor Networks. In: 2007 IEEE International Conference on Control Applications. IEEE , pp. 1031-1036. ISBN 978-1-4244-0440-7. https://resolver.caltech.edu/CaltechAUTHORS:20101015-111038468

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Abstract

Distributed state estimation under uncertain process and measurement noise covariances is considered. An algorithm based on sensor fusion using Kalman filtering is investigated. It is shown that if the covariances are decomposed into a known nominal covariance plus an uncertainty term, then the uncertainty of the actual estimation error covariance for the Kalman filter grows linearly with the size of the uncertainty term. This result is extended to the sensor fusion scheme to give an upper bound on the actual error covariance for the fused state estimate. Examples are provided to illustrate how the theory can be applied in practice.


Item Type:Book Section
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1109/CCA.2007.4389369DOIArticle
http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=4389369PublisherArticle
ORCID:
AuthorORCID
Murray, Richard M.0000-0002-5785-7481
Additional Information:© 2007 IEEE. Issue Date: 1-3 Oct. 2007; Date of Current Version: 27 November 2007. The work by L. Shi and R. M. Murray is supported in part by AFOSR grant FA9550-04-1-0169. The work by K. H. Johansson is supported by the Swedish Research Council and the Swedish Foundation for Strategic Research through an Individual Grant for the Advancement of Research Leaders.
Funders:
Funding AgencyGrant Number
Air Force Office of Scientific Research (AFOSR)FA9550-04-1-0169
Swedish Research CouncilUNSPECIFIED
Swedish Foundation for Strategic ResearchUNSPECIFIED
Record Number:CaltechAUTHORS:20101015-111038468
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20101015-111038468
Official Citation:Ling Shi; Johansson, K.H.; Murray, R.M.; , "Kalman Filtering with Uncertain Process and Measurement Noise Covariances with Application to State Estimation in Sensor Networks," Control Applications, 2007. CCA 2007. IEEE International Conference on , vol., no., pp.1031-1036, 1-3 Oct. 2007 doi: 10.1109/CCA.2007.4389369 URL: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=4389369&isnumber=4389191
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:20440
Collection:CaltechAUTHORS
Deposited By: Jason Perez
Deposited On:27 Oct 2010 20:53
Last Modified:03 Oct 2019 02:10

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