ISSN 1991-2927
 

ACP № 4 (58) 2019

Adaptive Square-root Covariance Algorithm for Filtering

Innokenty Vasilyevich Semushin, Ulyanovsk State University, Doctor of Engineering, Professor of the Chair 'Information Technologies' at the Ulyanovsk State University; interested in diagnostics, filtering and control in stochastic systems under uncertain conditions; has papers, monographs, patents. [e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it. ]I. Semushin,

Yulia Vladimirovna Tsyganova, Ulyanovsk State University, Candidate of Physics and Mathematics, Associate Professor of the Chair Information Technologies at the Ulyanovsk State University; interested in parametric identification of stochastic systems, adaptive filtering, development of numerically efficient algorithms of system identification and adaptation; author of papers. [e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it. ]Y. Tsyganova

Adaptive Square-root Covariance Algorithm for Filtering 23_12.pdf

The article proposes a new adaptive square-root algorithm for filtering, being numerically stable regarding errors of rounding made by computers and allowing mapping of the identification processes for unknown parameters of linear stochastic system and adaptive evaluation of its state as per the method of auxiliary functional of quality.

Adaptive filtering, parametric identification, kalman filter, square-root covariance filter, additional functional of quality.

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