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math.OC2022
Identifiability Analysis of Noise Covariances for LTI Stochastic Systems with Unknown Inputs
He Kong, Salah Sukkarieh, Travis J. Arnold +3
Most existing works on optimal filtering of linear time-invariant (LTI) stochastic systems with arbitrary unknown inputs assume perfect knowledge of the covariances of the noises i…
math.OC2022
The Noise Covariances of Linear Gaussian Systems with Unknown Inputs Are Not Uniquely Identifiable Using Autocovariance Least-squares
He Kong, Salah Sukkarieh, Travis J. Arnold +2
Existing works in optimal filtering for linear Gaussian systems with arbitrary unknown inputs assume perfect knowledge of the noise covariances in the filter design. This is imprac…