**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**30320

##### On Adaptive Optimization of Filter Performance Based on Markov Representation for Output Prediction Error

**Authors:**
Hong Son Hoang,
Remy Baraille

**Abstract:**

**Keywords:**
Dynamical System,
Data Assimilation,
statistical simulation,
Canonical form,
Markov and non-Markovian processes

**Digital Object Identifier (DOI):**
doi.org/10.5281/zenodo.1080183

**References:**

[1] Bryson A.E. and Henrikson L.J. (1968) Estimation Using Sampled Data Containing Sequentially Correlated Noise. Journal of Spacecraft, Vol. 5, No. 6, pp. 662-665.

[2] T. Kailath (1968) An Innovations Approach to Least-Squares Estimation, Pt. I: Linear Filtering in Additive Noise, IEEE Trans. Autom. Contr., 13(6), pp. 646-655.

[3] Hoang H.S. and Baraille R. (2011) Approximation Approach to Linear Filtering Problem with Correlated Noise. Engineering and Technology, 59, pp. 298-305.

[4] Hoang H.S. and Baraille R. (2012) On Gain Initialization and Optimization of Reduced-Order Adaptive Filter. Journal IAENG IJAM, 42:1, pp. 19-33.

[5] Lo`eve, M. (1978) Probability theory. Vol. II, 4th ed. Graduate Texts in Mathematics. 46. Springer-Verlag

[6] Nguyen T.L. and Hoang H.S. (1982) On one model of non-Markovian random process and its application to optimal estimation theory. Automat. Remote Contr., 43 (1982), 8 (1), pp. 1021-1032.

[7] Pugachev V.S. and Sinitsyn I.N. (1987). Stochastic systems : theory and applications, John Wiley and Sons.

[8] Golub G.H. and van Loan C.F. (1996). Matrix Computations, Cambridge University Press.