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Linearly reconfigurable Kalman filtering for a vector process

  • Author(s): Jiang, F
  • Chen, J
  • Swindlehurst, AL
  • et al.
Abstract

In this paper, we consider a dynamic linear system in statespace form where the observation equation depends linearly on a set of parameters. We address the problem of how to dynamically calculate these parameters in order to minimize the mean-squared error (MSE) of the state estimate achieved by a Kalman filter. We formulate and solve two kinds of problems under a quadratic constraint on the observation parameters: minimizing the sum MSE (Min-Sum-MSE) or minimizing the maximum MSE (Min-Max-MSE). In each case, the optimization problem is divided into two sub-problems for which optimal solutions can be found: a semidefinite programming (SDP) problem followed by a constrained least-squares minimization. A more direct solution is shown to exist for the special case of a scalar observation; in particular, the Min-Sum-MSE problem is optimally solved utilizing Rayleigh quotient, and the Min-Max-MSE problemreduces to an SDP feasibility test that can be solved via the bisection method. © 2013 IEEE.

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