2014
DOI: 10.3182/20140824-6-za-1003.01568
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Recursive Generalized Total Least Squares with Noise Covariance Estimation

Abstract: We propose a recursive generalized total least-squares (RGTLS) estimator that is used in parallel with a noise covariance estimator (NCE) to solve the errors-in-variables problem for multi-input-single-output linear systems with unknown noise covariance matrix. Simulation experiments show that the suggested RGTLS with NCE procedure outperforms the common recursive least squares (RLS) and recursive total instrumental variables (RTIV) estimators when all measured inputs and the measured output are noisy. Moreove… Show more

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Cited by 23 publications
(10 citation statements)
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References 19 publications
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“…To this version of the algorithm, one can prefer a recursive estimation allowing an implementation of the online diagnostic procedure. In Rhode et al (2014), the authors propose an algorithm for recursively computing the total least squares. In Hassanabadi et al (2020), the same goal is pursued by adapting the principal component analysis to a recursive form.…”
Section: Characterization Of Operating Modesmentioning
confidence: 99%
“…To this version of the algorithm, one can prefer a recursive estimation allowing an implementation of the online diagnostic procedure. In Rhode et al (2014), the authors propose an algorithm for recursively computing the total least squares. In Hassanabadi et al (2020), the same goal is pursued by adapting the principal component analysis to a recursive form.…”
Section: Characterization Of Operating Modesmentioning
confidence: 99%
“…The three common approaches to trajectory optimization are dynamic programming (DP), direct methods (DM) and indirect methods (IM) ( [6], pp. [5][6][7][8][27][28][29][30][31][32][33][34][35][36][37]. DP is an optimization method that finds a global optimum.…”
Section: Driver Assistance Systems For Automated Longitudinal Controlmentioning
confidence: 99%
“…Before CAN signals are used for updating the models, we remove signal noise using the polynomial Kalman smoother of [28]. In two situations the models are not adapted: First, during a vehicle standstill because the missing excitation in the data can cause the models to diverge.…”
Section: Parameter Adaption Modulementioning
confidence: 99%
“…To deal with these problems inherent with the traditional FIR and IIR filters, local approximation approaches via polynomial functions offer a promising option, 49 among which the SGF can preserve signal integrity to a large extent and increase the signalto-noise ratio (SNR) without obviously distorting the original signals. Specifically, the SGF utilizes a polynomial function in terms of convolution to make sure a least-square approximation for the authentic signals within a moving fixed-length window by Savitzky 50…”
Section: A Moving Polynomial Kalman Smoothermentioning
confidence: 99%