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Frontiers of Information Technology & Electronic Engineering >> 2016, Volume 17, Issue 5 doi: 10.1631/FITEE.1500262

Anovel approach of noise statistics estimate using H∞ filter in target tracking

. State Key Laboratory of Industrial Control Technology, Zhejiang University, Hangzhou 310027, China.. College of Electrical Engineering, Zhejiang University, Hangzhou 310027, China

Available online: 2016-05-24

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Abstract

Noise statistics are essential for estimation performance. In practical situations, however, a priori information of noise statistics is often imperfect. Previous work on noise statistics identification in linear systems still requires initial prior knowledge of the noise. A novel approach is presented in this paper to solve this paradox. First, we apply the H∞ filter to obtain the system state estimates without the common assumptions about the noise in conventional adaptive filters. Then by applying state estimates obtained from the H∞ filter, better estimates of the noise mean and covariance can be achieved, which can improve the performance of estimation. The proposed approach makes the best use of the system knowledge without a priori information with modest computation cost, which makes it possible to be applied online. Finally, numerical examples are presented to show the efficiency of this approach.

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