WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 17, 2018
Double-Parameter Ridge-Type Kalman Filter Based on Signal-to-Noise Ratio Test
Authors: , , ,
Abstract: In this paper, the ill-conditioning diagnosis and processing of Kalman filter are combined. First, the ill-conditioning of Kalman filter and the disadvantage of ridge-type Kalman filter are analyzed. Then the signal-to-noise ratio(SNR) statistic is introduced to measure how much each parameter suffers from the ill-conditioning. Accordingly, all parameters are divided into two parts, named involved parameters and non-involved parameters respectively. Then, the two parts of parameters are corrected with two ridge parameters of different size. This method is named double-parameter ridge-type Kalman filter and can reduce the bias introduced in ridge-type Kalman filter while reducing the variance of the state parameter estimation. Combined with the idea of generalized ridge estimation, the selection method of two ridge parameters are given. Finally, the example illustrates the new algorithm can effectively overcome the influence of the ill-condition on Kalman filter and the reduce the bias in ridge-type Kalman filter, which improves the accuracy of the estimates of parameters.
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Pages: 162-169
WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 17, 2018, Art. #21