Optimization of Continuous-Time Observations for the Stationary Kalman-Bucy Filter

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Kalman-Bucy Filter as a True Time-Varying Wiener Filter

Mrstract—The notion is exploded that to build a Kalman–Bucy filter, one needs to know tbe whole structure of the signal generating process. It is shown that the filter is constructible knowing precisely those covariwrces required to construct a Wiener filter, and no more, and that the filter is independent of the particular models of the processes generating these covariances. Performance of th...

متن کامل

Application of the Kalman-Bucy filter in the stochastic differential equation for the modeling of RL circuit

In this paper, we present an application of the stochastic calculusto the problem of modeling electrical networks. The filtering problem have animportant role in the theory of stochastic differential equations(SDEs). In thisarticle, we present an application of the continuous Kalman-Bucy filter for a RLcircuit. The deterministic model of the circuit is replaced by a stochastic model byadding a ...

متن کامل

An Application of the Kalman-Bucy filter to electrical circuits

This paper deals with the filtering problem, an important part of the theory of stochastic differential equations. We present an application of the continuous Kalman-Bucy filter to a special problem of RL electrical circuit.

متن کامل

Infinite-Dimensional Filtering: The Kalman-Bucy Filter in Hilbert Space

We examine the question of determining the "best" linear filter, in an expected squared error sense, for a signal generated by stochastic linear differential equation on a Hilbert space. Our results, which extend the development in Kalman and Bucy (1960), rely heavily on the integration theory for Banach-space-valued functions of Dunford and Schwartz (1958). In order to derive the Kalman-Bucy f...

متن کامل

Exponential data weighting in the Kalman-Bucy filter

The use a€ exponential weighting of data (favoring more recent data) is considered for continuous-time and discrete-time Kalman-Bucy filters. Quantitative consideration is given to matters such as the computation, stability and statianarity of filters designed with data weighting. The problem of divergence or data saturation is explored, and the use of exponential weighting is compared with oth...

متن کامل

ذخیره 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: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

سال: 2015

ISSN: 2188-4730,2188-4749

DOI: 10.5687/sss.2015.22