On Efficient Implementation of the Kalman Filter Bank for Scenario Analysis
نویسندگان
چکیده
The practical aspects of efficient implementation of the Kalman Filter Bank for scenario analysis are considered. Such implementation have to shorten running time, computational cost, and memory demands, required for computer model of the Kalman Filter Bank. The first requirement is met by concurrent computing. The second and third requirements are satisfied by substitution the Equivalent Kalman Filter Bank for the Standard Kalman Filter Bank. The paper contains theoretical and practical results, which can be used for scenario analysis and other problems (fault point detection, system identification, pattern recognition, and others). The work is partially supported by the Russian Ministry of Education (grants No. T0203.2-3427 and A03-3.16-409).
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