An optimization approach to adaptive Kalman filtering

— In this paper, an optimization-based adaptive Kalman filtering method is proposed. The method produces an estimate of the process noise covariance matrix Q by solving an optimization problem over a short window of data. The algorithm recovers the observations h(x) from a system ˙x = f(x), y = h(x) + v without a priori knowledge of system dynamics. Potential applications include target tracking using a network of nonlinear sensors, servoing, mapping, and localization. The algorithm is demonstrated in simulations on a tracking example for a target with coupled and nonlinear kinematics. Simulations indicate superiority over a standard MMAE algorithm for a large class of systems.

• Type: Conference
• Year: 2009
• Where: CDC
• Authors: Maja Karasalo, Xiaoming Hu
• Keywords: Algorithm, CDC 2009, Control Systems, Noise Covariance Matrix, Optimization-based Adaptive Kalman