This paper introduces a new algorithm for optimal filtering of data generated by errors-in-variables processes and compares its efficiency with that of two previous algorithms (Optimal errors-in-variables filtering, to appear in Automatica). It is shown that the new approach proposed here, based on the Cholesky decomposition of a matrix, is characterized by a high level of efficiency, superior to the efficiency of all other algorithms. An expression of the expected performance of the filtering algorithms is also developed; a Monte Carlo simulation confirms its accuracy. © 2002 Elsevier Science B.V. All rights reserved.
Diversi, R., Guidorzi, R., Soverini, U. (2003). Algorithms for optimal errors-in-variables filtering. SYSTEMS & CONTROL LETTERS, 48(1), 1-13 [10.1016/S0167-6911(02)00243-8].
Algorithms for optimal errors-in-variables filtering
Diversi R.;Guidorzi R.
;Soverini U.
2003
Abstract
This paper introduces a new algorithm for optimal filtering of data generated by errors-in-variables processes and compares its efficiency with that of two previous algorithms (Optimal errors-in-variables filtering, to appear in Automatica). It is shown that the new approach proposed here, based on the Cholesky decomposition of a matrix, is characterized by a high level of efficiency, superior to the efficiency of all other algorithms. An expression of the expected performance of the filtering algorithms is also developed; a Monte Carlo simulation confirms its accuracy. © 2002 Elsevier Science B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
