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...

Full description

Saved in:

Bibliographic Details
Published in:	Lobachevskii journal of mathematics Vol. 43; no. 6; pp. 1438 - 1445
Main Authors:	Tsyganov, A. V., Tsyganova, Yu. V., Kureneva, T. N.
Format:	Journal Article
Language:	English
Published:	Moscow Pleiades Publishing 01.06.2022 Springer Nature B.V
Subjects:	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
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!