RECURSIVE LINEAR FILTERING OF RANDOM SEQUENCES USING THE LEAST SQUARES METHOD WITH SOLUTION REGULARIZATION
Abstract
When the dimension of the problem is high, the Kalman filter becomes difficult to realize in real time due to computational costs. Alternatively, the technique of synthesis of the filter on the basis of the recursive least squares method with solution regularization is considered. The technique allows reducing the computational costs, but it increases the variance of the filtering error. By the example, the extent of this increase is shown and the recommendations for selection of the regularization coefficient are given.
About the Authors
V. M. Artemiev
Institute of Applied Physics of the National Academy of Sciences of Belarus
Belarus
Corresponding Member, D. Sc. (Engineering), Professor
Belarus
Corresponding Member, D. Sc. (Engineering), Professor
A. O. Naumov
Institute of Applied Physics of the National Academy of Sciences of Belarus
Belarus
Head of the Laboratory
Belarus
Head of the Laboratory
L. L. Kokhan
Institute of Applied Physics of the National Academy of Sciences of Belarus
Belarus
Senior researcher
Belarus
Senior researcher
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