INCREMENTAL LEAST SQUARES METHODS 1 AND THE EXTENDED KALMAN FILTER by
نویسنده
چکیده
In this paper we propose and analyze nonlinear least squares methods, which process the data incrementally, one data block at a time. Such methods are well suited for large data sets and real time operation, and have received much attention in the context of neural network training problems. We focus on the Extended Kalman Filter, which may be viewed as an incremental version of the Gauss-Newton method. We provide a nonstochastic analysis of its convergence properties, and we discuss variants aimed at accelerating its convergence. 1 Research supported by NSF under Grant 9300494-DMI. 2 Dept. of Electrical Engineering and Computer Science, M.I.T., Cambridge, Mass., 02139. 1
منابع مشابه
Rotated Unscented Kalman Filter for Two State Nonlinear Systems
In the several past years, Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF) havebecame basic algorithm for state-variables and parameters estimation of discrete nonlinear systems.The UKF has consistently outperformed for estimation. Sometimes least estimation error doesn't yieldwith UKF for the most nonlinear systems. In this paper, we use a new approach for a two variablestate no...
متن کاملA Comparison of Extended Kalman Filter, Ultrasound Time-of-Flight Measurement Models for Heating Source Localisation
Comparisons of six heating source localisation measurement models are conducted where temperature or ultrasonic time of flight readings provide the measurement update to the extended Kalman filter for estimating the location of a high heat flux spot source on a flat plate. For a particular measurement model, one of two processes are used: 1) directly using the measurements as the measurement ve...
متن کاملA New Adaptive Extended Kalman Filter for a Class of Nonlinear Systems
This paper proposes a new adaptive extended Kalman filter (AEKF) for a class of nonlinear systems perturbed by noise which is not necessarily additive. The proposed filter is adaptive against the uncertainty in the process and measurement noise covariances. This is accomplished by deriving two recursive updating rules for the noise covariances, these rules are easy to implement and reduce the n...
متن کاملA Comparison of Extended Kalman Filter Approaches Using Non-linear Temperature and Ultrasound Time-of-flight Measurement Models for Heating Source Localization of a Transient Heat Transfer Problem
ABSTRACT State estimation procedures using the extended Kalman filter are investigated for a transient heat transfer problem in which a heat source is applied on one side of a thin plate and ultrasonic time of flight or temperature is measured on the other side of the plate. A forward conduction solution is developed using finite element methods and verified using closed-form analytic solutions...
متن کاملA Comparison of Extended Kalman Filter, Extended Information Filter, and Least Squares Approaches for Parameter Identification of a Transient Heat Transfer Problem
Knowledge of where air flowing across a body transitions from laminar flow to turbulent flow can provide numerous benefits to air vehicle design, thermal protection system design, and air vehicle in-flight control [1]. At the transition between these two flow regimes, a change in body-surface temperature has been measured [2]. The objective of this work is to develop a method to locate and char...
متن کامل