On estimation of noise variance in linear dynamic systems by multiple observers

The use of multiple observers as a practical solution to the problem of determining the variances of the noise that excite a dynamic process or are present in observing it is discussed. The method is relatively easy to implement and does not require extraordinary computer resources, and at least in several examples studied by simulation, it can give acceptable performance. The method was tested on data obtained from real gyros. Since the true value of the parameters were, of course, unknown in these cases, it was not possible to determine how well the method works for real data; it was determined, however, that the results obtained by this method were in reasonably good agreement with the results obtained by the standard algorithm embodied in the test equipment. This is further favorable evidence that the method is practical.