Tracking of Time - Varying Parameters using OptimalBounding Ellipsoid
نویسندگان
چکیده
This paper analyzes the performance of an optimal bounding ellipsoid (OBE) algorithm for tracking time-varying parameters with incrementally bounded time variations. A linear state-space model is used, with the time-varying parameters represented by the state vector. The OBE algorithm exhibits a selective update property for the time and observation-update equations, and necessary and suf-cient conditions for state tracking are derived. The interpretability of the optimization criterion is also investigated along with simulation results.
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