A novel approach of noise statistics estimate using H∞ filter in target tracking

Noise statistics are essential for estimation performance. In practical situations, however, a priori information of noise statistics is often imperfect. Previous work on noise statistics identification in linear systems still requires initial prior knowledge of the noise. A novel approach is presen...

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Bibliographic Details
Published in:Frontiers of information technology & electronic engineering 2016-05, Vol.17 (5), p.449-457
Main Authors: Wang, Xie, Liu, Mei-qin, Fan, Zhen, Zhang, Sen-lin
Format: Article
Language:English
Subjects:
Adaptive filters
Communications Engineering
Computer Hardware
Computer Science
Computer Systems Organization and Communication Networks
Electrical Engineering
Electronics and Microelectronics
Estimates
H infinity
Instrumentation
Linear systems
Networks
Performance enhancement
Statistics
Tracking
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Summary:Noise statistics are essential for estimation performance. In practical situations, however, a priori information of noise statistics is often imperfect. Previous work on noise statistics identification in linear systems still requires initial prior knowledge of the noise. A novel approach is presented in this paper to solve this paradox. First, we apply the H∞ filter to obtain the system state estimates without the common assumptions about the noise in conventional adaptive filters. Then by applying state estimates obtained from the H∞ filter, better estimates of the noise mean and covariance can be achieved, which can improve the performance of estimation. The proposed approach makes the best use of the system knowledge without a priori information with modest computation cost, which makes it possible to be applied online. Finally, numerical examples are presented to show the efficiency of this approach.
ISSN:2095-9184
2095-9230
DOI:10.1631/FITEE.1500262