Minimax Filter for Statistically Indeterminate Stochastic Differential System
نویسندگان
چکیده
The linear stochastic differential system with uncertain intensity of noises in dynamics and observations is considered. For this system the minimax filtering procedure is proposed. The filter is optimal in terms of integral criterion. The obtained filtering equations depend on the dual optimization problem solution, which can be obtained by means of provided numerical procedure. The convergence of the numerical procedure is also considered. Some numerical results are described. Copyright c ©2005 IFAC
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