Digital simulation of Kalman-Bucy filter and an optimal filter with discrete input data (Q1059609)

Digital simulation of the Kalman-Bucy filter is considered for continuous systems, with the input data being processed and utilized at discrete instants. The numerical integration of the filter equations is based on recursion equations for optimal estimates of the system state according to discrete observations. Recommendations are given with regard to the selection of the discretization step in digital simulation. Some results of numerical experiments are also presented.