An efficient algorithm for estimating noise covariances in distributed systems

Abstract

An efficient computational algorithm for estimating the noise covariance matrices of large linear discrete stochatic-dynamic systems is presented. Such systems arise typically by discretizing distributed-parameter systems, and their size renders computational efficiency a major consideration. The proposed adaptive filtering algorithm is based on the ideas of Belanger, and is algebraically equivalent to his algorithm. The earlier algorithm, however, has computational complexity proportional to p to the 6th, where p is the number of observations of the system state, while the new algorithm has complexity proportional to only p-cubed. Further, the formulation of noise covariance estimation as a secondary filter, analogous to state estimation as a primary filter, suggests several generalizations of the earlier algorithm. The performance of the proposed algorithm is demonstrated for a distributed system arising in numerical weather prediction.