Extended square-root covariance filtering algorithm for discrete-time systems with multiplicative and additive noises

DOI10.1134/S199508022209027XzbMath1505.93268MaRDI QIDQ2095830

T. N. Kureneva, Yuliya Vladimirovna Tsyganova, Andreĭ Vladimirovich Tsyganov

Publication date: 15 November 2022

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

discrete-time systemsKalman filterstochastic systemsmultiplicative noisesquare-root discrete filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05)

Cites Work

• State estimation and control synthesis for discrete linear systems with additive and multiplicative noise
• On unknown state-dependent noise, modeling errors, and adaptive filtering
• An exact minimum variance filter for a class of discrete time systems with random parameter perturbations
• Array algorithms for H/sup ∞/ estimation
• Kalman Filtering
• On Modern Array Algorithms for Optimal Discrete Filtering
• Optimal linear filtering for linear systems with state-dependent noise

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