Extended Square-Root Covariance Filtering Algorithm for Discrete-Time Systems with Multiplicative and Additive Noises

The paper addresses a problem of constructing extended square-root covariance filtering algorithm for discrete-time linear stochastic systems with multiplicative and additive noises. The developed algorithm is algebraically equivalent to the standard covariance filter but has the improved computatio...

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Vydané v:Lobachevskii journal of mathematics Ročník 43; číslo 6; s. 1438 - 1445
Hlavní autori: Tsyganov, A. V., Tsyganova, Yu. V., Kureneva, T. N.
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Moscow Pleiades Publishing 01.06.2022
Springer Nature B.V
Predmet:
Algebra
Algorithms
Analysis
Covariance
Discrete time systems
Filtration
Geometry
Mathematical Logic and Foundations
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Stochastic systems
stochastic systems
discrete-time systems
square-root discrete filtering
multiplicative noise
Kalman filter
ISSN:1995-0802, 1818-9962
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Abstract The paper addresses a problem of constructing extended square-root covariance filtering algorithm for discrete-time linear stochastic systems with multiplicative and additive noises. The developed algorithm is algebraically equivalent to the standard covariance filter but has the improved computational properties inherent to all square-root algorithms. The results of numerical experiments confirming the operability of the proposed algorithm are presented.
AbstractList The paper addresses a problem of constructing extended square-root covariance filtering algorithm for discrete-time linear stochastic systems with multiplicative and additive noises. The developed algorithm is algebraically equivalent to the standard covariance filter but has the improved computational properties inherent to all square-root algorithms. The results of numerical experiments confirming the operability of the proposed algorithm are presented.
Author Kureneva, T. N.
Tsyganov, A. V.
Tsyganova, Yu. V.
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  givenname: T. N.
  surname: Kureneva
  fullname: Kureneva, T. N.
  email: tankur67@yandex.ru
  organization: Ulyanovsk State University of Education
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Cites_doi 10.1016/0045-7906(75)90006-3
10.1080/00207176908905798
10.1049/iet-cta.2014.0545
10.1016/j.apm.2013.10.040
10.1109/WCICA.2016.7578352
10.23919/ECC51009.2020.9143804
10.1002/9781118984987
10.1088/1742-6596/1745/1/012114
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discrete-time systems
square-root discrete filtering
multiplicative noise
Kalman filter
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SubjectTerms Algebra
Algorithms
Analysis
Covariance
Discrete time systems
Filtration
Geometry
Mathematical Logic and Foundations
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Stochastic systems
Title Extended Square-Root Covariance Filtering Algorithm for Discrete-Time Systems with Multiplicative and Additive Noises
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