Optimal filtering algorithm for stochastic 2-D FMM II with multiplicative noise (Q2468949)

A stochastic two-dimensional Fornasini-Marchesini' s model II (2-D FMM II) with multiplicative noise is given, and a filtering algorithm for this model, which is optimal in the sense of linear minimum-variance, is developed. The stochastic 2-D FMM II with multiplicative noise can be reduced to a 1-D model, and the proposed optimal filtering algorithm for the stochastic 2-D FMM II with multiplicative noise is obtained by using the state estimation theory of 1-D systems. An example is given to illustrate the validity of this algorithm.