منابع مشابه
Polynomial Filtering of Discrete-Time Stochastic Linear Systems with Multiplicative State Noise
In this paper, the problem of finding an optimal polynomial state estimate for the class of stochastic linear models with a multiplicative state noise term is studied. For such models, a technique of state augmentation is used, leading to the definition of a general polynomial filter. The theory is developed for time-varying systems with nonstationary and non-Gaussian noises. Moreover, the stea...
متن کاملStochastic Robust Kalman Filtering for Linear Time-Varying Systems with a Multiplicative Measurement Noise
In this paper, a stochastic robust Kalman filtering problem is investigated for timevarying linear systems with stochastic uncertainties in its measurement matrix. The influence of parametric uncertainties on the nominal Kalman filter estimate is analyzed in the sense of classical weighted least-squares criterion. Stochastic approximation of estimation errors due to uncertainties allows us to o...
متن کاملAdaptive filtering of multiplicative noise by a new differential method
In this paper, we present a new and original mathematical statement of the filtering problem. We only consider adaptive filtering of an image degraded by a multiplicative noise. The proposed method is stated with an evolution equation of the problem of interest. It achieves an improvement of the efficiency of the well-known iterated Kuan filter. Mainly, it incorporates the local determination o...
متن کاملH Filtering of Signals Subjected to Multiplicative White Noise
In the present paper an ∞ H -type filtering approach for continuous-time stochastic systems with multiplicative white noise is presented. The design procedure uses the Bounded Real Lemma type result. The paper considers the case when the filter oder is fixed. Necessary and sufficient solvability conditions are derived in terms of two linear matrix inequalities coupled by a rank constrain condit...
متن کاملDiscrete-Time Linear Filtering in Arbitrary Noise
The Kalman filter is a recursive Best Linear Unbiased Estimator (BLUE) for a linear dynamic system with uncorrelated white process and measurement noises. It has been extended to the case where the noises are Markov and/or crosscorrelated for the same time instant. This paper presents optimal batch and semi-recursive filters and a suboptimal recursive filter for a linear discrete-time system wi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Information and Control
سال: 1977
ISSN: 0019-9958
DOI: 10.1016/s0019-9958(77)80010-7