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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Veröffentlicht in:Lobachevskii journal of mathematics Jg. 43; H. 6; S. 1438 - 1445
Hauptverfasser: Tsyganov, A. V., Tsyganova, Yu. V., Kureneva, T. N.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Moscow Pleiades Publishing 01.06.2022
Springer Nature B.V
Schlagworte:
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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Zusammenfassung: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.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
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content type line 14
ISSN:1995-0802
1818-9962
DOI:10.1134/S199508022209027X