Original title: Examples of state and parameter estimation for linear model with uniform innovations
Translated title: Příklady odhadu stavu a parametrů pro lineární model s rovnoměrně rozloženými inovacemi
Authors: Pavelková, Lenka
Document type: Papers
Conference/Event: International PhD Workshop on Interplay of Societal and Technical Decision-Making, Young Generation Viewpoint /7./, Hrubá Skála (CZ), 2006-09-25 / 2006-09-30
Year: 2006
Language: eng
Abstract: [eng] [cze]
In this contribution, state-space model with uniformly distributed innovations is introduced and the Bayesian state estimation proposed. The off-line evaluation of the maximum a posteriori probability (MAP) estimate of unknowns in the linear state-space model with uniform innovations reduces to linear programming (LP). The solution provides either estimates of the noise boundary and parameters or of the noise boundary and states. The on-line estimation is obtained by applying LP on the sliding window, i.e., by considering only the fixed amount, say partial, of the newest last data and states items. By swapping between state and parameter estimations, joint parameter and state estimation is obtained. The use of Taylor expansion for approximation of products of unknowns solves also the joint parameter and state estimation. Simulation studies help to get an insight on the potential and restrictions of these heuristic method. This contribution shares the experimentally gained experience with both these solutions of the joint state and parameter estimation. V tomto příspěvku je zaveden lineární stavový model s rovnoměrně rozloženými inovacemi. Výpočet maximálně věrohodného odhadu redukuje na problém lineárního programování. Výsledkem je buď odhad parametrů a mezí šumu nebo odhad stavu a mezí šumu. Společný odhad stavu a parametrů je dosažen (i) přepínáním mezi odhadem parametrů a odhadem stavu, (ii) použitím Taylorova rozvoje pro aproximaci nelineárního výrazu. V příspěvku je popsán simulovaný příklad společný odhad stavu a parametrů.
Keywords: estimation; state model; uniform innovations
Project no.: CEZ:AV0Z10750506 (CEP), 2C06001 (CEP), 1M0572 (CEP), 1ET100750401 (CEP)
Funding provider: GA MŠk, GA MŠk, GA AV ČR
Host item entry: Proceedings of the 7th International PhD Workshop: Interplay of Societal and Technical Decision-Making, Young Generation Viewpoint

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0143544

Permalink: http://www.nusl.cz/ntk/nusl-36692


The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers