Adaptive Non-Bayesian State Estimation

This paper presents an adaptive retrospective cost state estimation (RCSE) algorithm that uses no knowledge of the statistics of the process and measurement noise. To demonstrate the method, we investigate three cases for comparison with the Kalman filter, namely, known dynamics with known noise statistics, uncertain dynamics with known noise statistics, and uncertain dynamics with uncertain noise statistics. For numerical illustration, we apply RCSE to a damped oscillator, a damped rigid body, and a lateral aircraft model.