A conservative bound on the estimation error covariance matrix in the presence of correlated driving noise and correlated discrete measurement noise

DOI10.1016/0022-247X(73)90075-9zbMath0263.93050OpenAlexW2044304893MaRDI QIDQ2561562

James E. Potter, James C. Deckert

Publication date: 1973

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(73)90075-9

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• A maximum principle for stochastic control systems
• The Reduction of Certain Control Problems to an “Ordinary Differential” Type
• The Minimal Bound on the Estimation Error Covariance Matrix in the Presence of Correlated Driving Noise

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