The optimal projection equations for reduced-order, discrete-time state estimation for linear systems with multiplicative white noise

DOI10.1016/0167-6911(87)90106-XzbMath0617.93054OpenAlexW2071924116MaRDI QIDQ1088965

Dennis S. Bernstein, Wassim M. Haddad

Publication date: 1987

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(87)90106-x

zbMATH Keywords

optimality conditionsmodified Riccati equationoptimal estimatormodified Lyapunov equationsreduced-order state estimator

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Matrix equations and identities (15A24) Identification in stochastic control theory (93E12)

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