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| Hauptverfasser: | , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2407.01801 |
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| _version_ | 1866914855642988544 |
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| author | Liu, Peng Li, Kailai Hendeby, Gustaf Gustafsson, Fredrik |
| author_facet | Liu, Peng Li, Kailai Hendeby, Gustaf Gustafsson, Fredrik |
| contents | This letter proposes a new method for joint state and parameter estimation in uncertain dynamical systems. We exploit the partial errors-in-variables (PEIV) principle and formulate a regression problem in the sense of weighted total least squares, where the uncertainty in the parameter prior is explicitly considered. Based thereon, the PEIV regression can be solved iteratively through the Kalman smoothing and the regularized least squares for estimating the state and the parameter, respectively. The simulations demonstrate improved accuracy of the proposed method compared to existing approaches, including the joint maximum a posterior-maximum likelihood, the expectation maximisation, and the augmented state extended Kalman smoother. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_01801 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Joint State and Parameter Estimation Using the Partial Errors-in-Variables Principle Liu, Peng Li, Kailai Hendeby, Gustaf Gustafsson, Fredrik Signal Processing This letter proposes a new method for joint state and parameter estimation in uncertain dynamical systems. We exploit the partial errors-in-variables (PEIV) principle and formulate a regression problem in the sense of weighted total least squares, where the uncertainty in the parameter prior is explicitly considered. Based thereon, the PEIV regression can be solved iteratively through the Kalman smoothing and the regularized least squares for estimating the state and the parameter, respectively. The simulations demonstrate improved accuracy of the proposed method compared to existing approaches, including the joint maximum a posterior-maximum likelihood, the expectation maximisation, and the augmented state extended Kalman smoother. |
| title | Joint State and Parameter Estimation Using the Partial Errors-in-Variables Principle |
| topic | Signal Processing |
| url | https://arxiv.org/abs/2407.01801 |