RESEARCH PAPERS: Technical Papers

On the Identification of Noise Covariances in Continuous Linear Systems

[+] Author and Article Information
T. Yoshimura, T. Soeda

Department of Mechanical Engineering, University of Tokushima, Tokushima, Japan

J. Dyn. Sys., Meas., Control 98(3), 296-300 (Sep 01, 1976) (5 pages) doi:10.1115/1.3427038 History: Received April 14, 1976; Online July 13, 2010


This paper is concerned with an approach for identifying the input and observation noise covariances in continuous linear systems. The estimates of noise covariances are evaluated as the mean squares of Brownian motion processes conditioned upon all the available observation data. The suboptimal solutions are obtained in the sense that the differential equations for the evolution of the estimates are derived. Numerical examples for a simple system indicate acceptable performance of the proposed method.

Copyright © 1976 by ASME
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