AN INVESTIGATION OF EXTENDED KALMAN FILTERING IN THE ERRORS-IN-VARIABLES FRAMEWORK - A Joint State and Parameter Estimation Approach

Jens G. Linden, Benoit Vinsonneau, Keith J. Burnham

2007

Abstract

The paper addresses the problem of errors-in-variables filtering, i.e. the optimal estimation of inputs and outputs from noisy observations. While the optimal solution is known for linear time-varying systems of known parameterisation, this paper considers a suboptimal approach where only an approximated set of parameters is available. The proposed filter is derived by the means of joint state and parameter estimation using the extended Kalman filter approach which, in turn, leads to a coupled state-parameter estimation procedure. However, the resulting parameter estimates appear to be biased in the presence of input noise. The novel filter is compared with a previously proposed suboptimal filter.

Paper Citation

in Harvard Style

G. Linden J., Vinsonneau B. and J. Burnham K. (2007). AN INVESTIGATION OF EXTENDED KALMAN FILTERING IN THE ERRORS-IN-VARIABLES FRAMEWORK - A Joint State and Parameter Estimation Approach . In Proceedings of the Fourth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 978-972-8865-84-9, pages 47-53. DOI: 10.5220/0001646600470053

in Bibtex Style

@conference{icinco07,
author={Jens G. Linden and Benoit Vinsonneau and Keith J. Burnham},
title={AN INVESTIGATION OF EXTENDED KALMAN FILTERING IN THE ERRORS-IN-VARIABLES FRAMEWORK - A Joint State and Parameter Estimation Approach},
booktitle={Proceedings of the Fourth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2007},
pages={47-53},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001646600470053},
isbn={978-972-8865-84-9},
}

in EndNote Style

TY - CONF
JO - Proceedings of the Fourth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - AN INVESTIGATION OF EXTENDED KALMAN FILTERING IN THE ERRORS-IN-VARIABLES FRAMEWORK - A Joint State and Parameter Estimation Approach
SN - 978-972-8865-84-9
AU - G. Linden J.
AU - Vinsonneau B.
AU - J. Burnham K.
PY - 2007
SP - 47
EP - 53
DO - 10.5220/0001646600470053