Multiple-Model Adaptive Estimation with A New Weighting Algorithm

The state estimation of a complex dynamic stochastic system is described by a discrete-time state-space model with large parameter (including the covariance matrices of system noises and measurement noises) uncertainties. A new scheme of weighted multiple-model adaptive estimation is presented, in which the classical weighting algorithm is replaced by a new weighting algorithm to reduce the calculation burden and to relax the convergence conditions. Finally, simulation results verified the effectiveness of the proposed MMAE scheme for each possibility of parameter uncertainties.

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