New Algorithm for Recursive Estimation in Linear Discrete-Time Systems with Unknown Parameters

Abstract: The problem of recursive filtering for linear discrete-time systems with uncertainties is considered. A new suboptimal filtering algorithm is herein proposed. It is based on the fusion formula, which represents an optimal mean-square linear combination of local Kalman estimates with weights depending on cross-covariances between local filtering errors. In contrast to the optimal weights, the suboptimal weights do not depend on current measurements, and thus the proposed algorithm can easily be implemented in real-time. High accuracy and efficiency of the suboptimal filtering algorithm are demonstrated on the following examples: damper harmonic oscillator motion and vehicle motion constrained to a plane.