Robust RLS Wiener Fixed-Interval Smoother in Linear Discrete-Time Stochastic Systems with Uncertain Parameters

Authors

  • Seiichi Nakamori Kagoshima University

Keywords:

Robust RLS Wiener filter, fixed-interval smoother, discrete-time stochastic systems, uncertain parameters, autoregressive model

Abstract

This paper proposes the robust RLS Wiener filter and fixed-interval smoothing algorithms based on the innovation approach. As a result, the robust RLS Wiener filtering algorithm is same as the existing robust RLS Wiener filtering algorithm. The estimation accuracy of the fixed-interval smoother is compared with the robust RLS Wiener filter and the following fixed-interval smoothers. In the proposed robust RLS Wiener fixed-interval smoother, the case, where the observed value is replaced with the robust filtering estimate of the signal, is also simulated. (1) The RLS Wiener fixed-interval smoother in which the filtering estimate of the state is replaced with the robust RLS Wiener filtering estimate. (2) The RTS (Rauch-Tung-Striebel) fixed-interval smoother in which the filtering estimate of the state is replaced with the robust RLS Wiener filtering estimate. (3) The  RLS Wiener fixed-interval smoother and the  RLS Wiener filter. (4) The RLS Wiener fixed-interval smoother in which the filtering estimate of the state is replaced with the robust RLS Wiener filtering estimate and the observed value is replaced with the robust RLS Wiener filtering estimate of the signal. From the simulation results, the most feasible estimation technique for the fixed-interval smoothing estimate is the RLS Wiener fixed-interval smoother. Here, the robust filtering estimate is used and the observed value is replaced with the robust filtering estimate.

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Author Biography

Seiichi Nakamori, Kagoshima University

Department of Technology, Faculty of Education, Kagoshima University, Kagoshima, Japan.

References

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Published

2019-12-16

How to Cite

Nakamori, S. (2019). Robust RLS Wiener Fixed-Interval Smoother in Linear Discrete-Time Stochastic Systems with Uncertain Parameters . Computer Reviews Journal, 5, 33-55. Retrieved from https://purkh.com/index.php/tocomp/article/view/552

Issue

Section

Research Articles