TY - GEN
T1 - Robust Online Filter Based on a Second-Order Adaptive Model
AU - Yi, Shenglun
AU - Ren, Xuemei
N1 - Publisher Copyright:
© 2021, The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.
PY - 2021
Y1 - 2021
N2 - This paper considers robust online filtering problems based on a second-order adaptive model. On the one hand, an adaptive second-order model is applied to characterize the nominal model of the data collected in real-time. On the other hand, we introduce a risk sensitivity parameter to express the modeling error between the nominal model and the actual model. More precisely, the proposed algorithm consists of two parts, one is the state estimation based on the robust Kalman filter, the other is the parameter identification using the Yule-Walker algorithm. Finally, results show the superiority of the proposed robust online filter.
AB - This paper considers robust online filtering problems based on a second-order adaptive model. On the one hand, an adaptive second-order model is applied to characterize the nominal model of the data collected in real-time. On the other hand, we introduce a risk sensitivity parameter to express the modeling error between the nominal model and the actual model. More precisely, the proposed algorithm consists of two parts, one is the state estimation based on the robust Kalman filter, the other is the parameter identification using the Yule-Walker algorithm. Finally, results show the superiority of the proposed robust online filter.
KW - Modeling error
KW - Online filtering
KW - Robust Kalman filter
KW - Yule-Walker algorithm
UR - http://www.scopus.com/inward/record.url?scp=85092704161&partnerID=8YFLogxK
U2 - 10.1007/978-981-15-8458-9_74
DO - 10.1007/978-981-15-8458-9_74
M3 - Conference contribution
AN - SCOPUS:85092704161
SN - 9789811584572
T3 - Lecture Notes in Electrical Engineering
SP - 691
EP - 698
BT - Proceedings of 2020 Chinese Intelligent Systems Conference - Volume II
A2 - Jia, Yingmin
A2 - Zhang, Weicun
A2 - Fu, Yongling
PB - Springer Science and Business Media Deutschland GmbH
T2 - Chinese Intelligent Systems Conference, CISC 2020
Y2 - 24 October 2020 through 25 October 2020
ER -