대한전기학회:학술대회논문집 (Proceedings of the KIEE Conference)
- 대한전기학회 2003년도 하계학술대회 논문집 D
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- Pages.2615-2617
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- 2003
EM 알고리즘을 통한 칼만 필터의 성능 개선
Improved Kalman filter performance via EM algorithm
- Kang, Jee-Hye (Chungbuk National University) ;
- Kim, Sung-Soo (Chungbuk National University)
- 발행 : 2003.07.21
초록
The Kalman filter is a recursive Linear Estimator for the linear dynamic systems(LDS) affected by two different noises called process noise and measurement noise both of which are uncorrelated white. The Expectation Maximization(EM) algorithm is employed in this paper as a preprocessor to reinforce the effectiveness of Kalman estimator. Particularly, we focus on the relation between Kalman filter and EM algorithm in the LDS. In this paper, we propose a new algorithm to improve the performance on the parameter estimation via EM algorithm, which improves the overall process of Kalman filtering. Since Kalman filter algorithm not only needs the system parameters but also is very sensitive the initial state conditions, the initial conditions decided through EM turns out to be very effective. In experiments, the computer simulation results ate provided to demonstrate the superiority of the proposed algorithm.
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