Unobservable Systems: No Problem for Noise Identification

• 成果类型: Article
• 署名作者: Kost, Oliver; Dunik, Jindrich; Puncochar, Ivo; Straka, Ondrej
• 署名单位: University of West Bohemia Pilsen
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2025.3607601
• 发表日期: 2026
• 关键词: Covariance matrices; MODEL; time

摘要

This article deals with the noise identification of a linear time-varying stochastic dynamic system described by the state-space model. In particular, the stress is laid on the design of the correlation measurement difference method for estimation of the state and measurement noise covariance matrices for both observable and unobservable systems with possibly unknown input sequence. The method provides unbiased and consistent estimates and is implemented in a publicly available Matlab toolbox and numerically evaluated.