Recursive state estimation by matrix factorization

Details Recursive state estimation by matrix factorization Recursive state estimation by matrix factorization

G - Physics

06

F

G06F 17/11 (2006.01)

Patent

CA 2389083

A filter is disclosed for recursive state estimation of a process by matrix factorization. The filter preferably takes the general form of P = XY, where P is a matrix of previous state and/or current observations, Y is a matrix of functions that are used to model the process, and X is a coefficient matrix relating the functions in matrix Y to the previous state and/or current observations of matrix P. Given the previous state and/or current observations, a value for matrix Y can be computed from which a current state estimate can be recovered.

L'invention concerne un filtre permettant d'estimer un état d'un processus par factorisation de matrice. Le filtre est, de préférence, représenté par la formule P = XY, P représentant une matrice d'un état antérieur et/ou des observations courantes, Y représentant une matrice de fonctions utilisées pour modeler le processus, et X représentant une matrice de coefficient concernant les fonctions de la matrice Y relatives à l'état antérieur et/ou aux observations courantes de la matrice P. Grâce à l'état antérieur et/ou aux observations courantes, il est possible de calculer une valeur de matrice Y partir de laquelle une estimation d'état courant peut être récupérée.

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