Control of Kalman-like filters using impulse and continuous feedback design (Q1599860)

The authors develop the observation control method for refining the Kalman-Bucy estimates, which is based on impulsive modeling of the transition matrix in an observation equation, thus engaging discrete-continuous observations. They study the application of the impulse control component (the observation process stops after a jump point), whose intensity is selected in order to decrease the post-jump value of the estimate variance, depending upon the available intensity of the impulse control. This procedure is repeated every time when a value of the estimate variance reaches the given threshold. Each version of the suggested observation control method is followed by an illustrative example.