Some quantitative characteristics of error covariance for Kalman filters

Some quantitative characteristics of error covariance are studied for linear Kalman filters. These quantitative characteristics include the peak value and location in the matrix, the decay rate from peak to bottom, and some algebraic constraints of the elements in the covariance matrix. We mathemati...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Wei Kang, Liang Xu
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	error covariance kalman filter quantitative characteristics localisation Oceanography GC1-1581 Meteorology. Climatology QC851-999
Acceso en línea:	https://doaj.org/article/9095d398bdad4f4684613cfa8a061bdd
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:9095d398bdad4f4684613cfa8a061bdd
record_format	dspace
spelling	oai:doaj.org-article:9095d398bdad4f4684613cfa8a061bdd2021-12-01T14:40:58ZSome quantitative characteristics of error covariance for Kalman filters1600-087010.1080/16000870.2020.1852834https://doaj.org/article/9095d398bdad4f4684613cfa8a061bdd2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/16000870.2020.1852834https://doaj.org/toc/1600-0870Some quantitative characteristics of error covariance are studied for linear Kalman filters. These quantitative characteristics include the peak value and location in the matrix, the decay rate from peak to bottom, and some algebraic constraints of the elements in the covariance matrix. We mathematically prove a matrix upper bound and its quantitative characteristics for the error covariance of Kalman filters. Computational methods are developed to numerically estimate the elements in a matrix upper bound and its decay rate. The quantitative characteristics and the computational methods are illustrated using three examples, two linear systems and one nonlinear system of shallow water equations.Wei KangLiang XuTaylor & Francis Grouparticleerror covariancekalman filterquantitative characteristicslocalisationOceanographyGC1-1581Meteorology. ClimatologyQC851-999ENTellus: Series A, Dynamic Meteorology and Oceanography, Vol 73, Iss 1, Pp 1-19 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	error covariance kalman filter quantitative characteristics localisation Oceanography GC1-1581 Meteorology. Climatology QC851-999
spellingShingle	error covariance kalman filter quantitative characteristics localisation Oceanography GC1-1581 Meteorology. Climatology QC851-999 Wei Kang Liang Xu Some quantitative characteristics of error covariance for Kalman filters
description	Some quantitative characteristics of error covariance are studied for linear Kalman filters. These quantitative characteristics include the peak value and location in the matrix, the decay rate from peak to bottom, and some algebraic constraints of the elements in the covariance matrix. We mathematically prove a matrix upper bound and its quantitative characteristics for the error covariance of Kalman filters. Computational methods are developed to numerically estimate the elements in a matrix upper bound and its decay rate. The quantitative characteristics and the computational methods are illustrated using three examples, two linear systems and one nonlinear system of shallow water equations.
format	article
author	Wei Kang Liang Xu
author_facet	Wei Kang Liang Xu
author_sort	Wei Kang
title	Some quantitative characteristics of error covariance for Kalman filters
title_short	Some quantitative characteristics of error covariance for Kalman filters
title_full	Some quantitative characteristics of error covariance for Kalman filters
title_fullStr	Some quantitative characteristics of error covariance for Kalman filters
title_full_unstemmed	Some quantitative characteristics of error covariance for Kalman filters
title_sort	some quantitative characteristics of error covariance for kalman filters
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/9095d398bdad4f4684613cfa8a061bdd
work_keys_str_mv	AT weikang somequantitativecharacteristicsoferrorcovarianceforkalmanfilters AT liangxu somequantitativecharacteristicsoferrorcovarianceforkalmanfilters
_version_	1718405006678294528

Some quantitative characteristics of error covariance for Kalman filters

Ejemplares similares