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Selection of noise parameters for Kalman filter
Ka-Veng Yuen (阮家荣); Ka-In Hoi(许嘉贤); Kai Meng Mok(莫启明)
Source PublicationEarthquake Engineering and Engineering Vibration

The Bayesian probabilistic approach is proposed to estimate the process noise and measurement noise parameters for a Kalman filter. With state vectors and covariance matrices estimated by the Kalman filter, the likehood of the measurements can be constructed as a function of the process noise and measurement noise parameters. By maximizing the likelihood function with respect to these noise parameters, the optimal values can be obtained. Furthermore, the Bayesian probabilistic approach allows the associated uncertainty to be quantified. Examples using a single-degree-of-freedom system and a ten-story building illustrate the proposed method. The effect on the performance of the Kalman filter due to the selection of the process noise and measurement noise parameters was demonstrated. The optimal values of the noise parameters were found to be close to the actual values in the sense that the actual parameters were in the region with significant probability density. Through these examples, the Bayesian approach was shown to have the capability to provide accurate estimates of the noise parameters of the Kalman filter, and hence for state estimation.

KeywordBayesian Inference Kalman Filter Measurement Noise Process Noise State Estimation
URLView the original
Indexed BySCIE
WOS Research AreaEngineering
WOS SubjectEngineering, Civil ; Engineering, Geological
WOS IDWOS:000255123100006
The Source to ArticleScopus
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Cited Times [WOS]:33   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Science and Technology
Corresponding AuthorKa-Veng Yuen (阮家荣)
AffiliationDepartment of Civil and Environmental Engineering, University of Macau, China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Ka-Veng Yuen ,Ka-In Hoi,Kai Meng Mok. Selection of noise parameters for Kalman filter[J]. Earthquake Engineering and Engineering Vibration,2007,6(1):49-56.
APA Ka-Veng Yuen ,Ka-In Hoi,&Kai Meng Mok.(2007).Selection of noise parameters for Kalman filter.Earthquake Engineering and Engineering Vibration,6(1),49-56.
MLA Ka-Veng Yuen ,et al."Selection of noise parameters for Kalman filter".Earthquake Engineering and Engineering Vibration 6.1(2007):49-56.
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