dc.contributor.author | Andersson, Leif Erik | |
dc.contributor.author | Brekke, Edmund Førland | |
dc.contributor.author | Imsland, Lars Struen | |
dc.contributor.author | Scibilia, Francesco | |
dc.date.accessioned | 2018-01-09T15:24:45Z | |
dc.date.available | 2018-01-09T15:24:45Z | |
dc.date.created | 2018-01-09T15:28:36Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | IFAC-PapersOnLine. 2017, 50 (1), 3768-3773. | nb_NO |
dc.identifier.issn | 2405-8963 | |
dc.identifier.uri | http://hdl.handle.net/11250/2476532 | |
dc.description.abstract | This article presents a Cramér-Rao lower bound for the discrete-time filtering problem under linear state constraints. A simple recursive algorithm is presented that extends the computation of the Cramér-Rao lower bound found in previous literature by one additional step in which the full-rank Fisher Information matrix is projected onto the tangent hyperplane of the constraint set. This makes it possible to compute the constrained Cramér-Rao lower bound for the discrete-time filtering problem without reparametrization of the original problem to remove redundancies in the state vector, which improves insights into the problem. It is shown that in case of a positive-definite Fisher Information Matrix the presented constrained Cramér-Rao bound is lower than the unconstrained Cramér-Rao bound. The bound is evaluated on an example. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier | nb_NO |
dc.title | Constrained Posterior Cramér-Rao Bound for Discrete-Time Systems | nb_NO |
dc.type | Journal article | nb_NO |
dc.description.version | submittedVersion | nb_NO |
dc.source.pagenumber | 3768-3773 | nb_NO |
dc.source.volume | 50 | nb_NO |
dc.source.journal | IFAC-PapersOnLine | nb_NO |
dc.source.issue | 1 | nb_NO |
dc.identifier.doi | 10.1016/j.ifacol.2017.08.479 | |
dc.identifier.cristin | 1539115 | |
dc.description.localcode | This is a submitted manuscript of an article published by Elsevier Ltd in IFAC-PapersOnLine, 18 October 2017. | nb_NO |
cristin.unitcode | 194,63,25,0 | |
cristin.unitname | Institutt for teknisk kybernetikk | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |