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
On-line prístup:	Získať plný text
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