On State Estimation for Linear Discrete-Time Systems with Unknown Noise Covariances

J. K. Tugnait*, A. H. Haddad

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)337-340
Number of pages4
JournalIEEE Transactions on Automatic Control
Volume24
Issue number2
DOIs
StatePublished - Apr 1979

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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