Optimal linear filtering for linear systems with state-dependent noise

DOI10.1080/00207176908905798zbMath0174.51101OpenAlexW2057112466MaRDI QIDQ5563203

Peter J. McLane

Publication date: 1969

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207176908905798

zbMATH Keywords

information, communications

Related Items (6)

The optimal projection equations for reduced-order, discrete-time state estimation for linear systems with multiplicative white noise ⋮ Wonham filtering by observations with multiplicative noises ⋮ Moment equivalent system, of linear stochastic system with application to state estimation ⋮ Minimal order state observers for bilinear systems ⋮ Extended square-root covariance filtering algorithm for discrete-time systems with multiplicative and additive noises ⋮ Least-squares state estimation of systems with state-dependent observation noise

Cites Work

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• Optimal filtering for correlated noise
• A New Representation for Stochastic Integrals and Equations
• Derivation of the Moments of a Continuous Stochastic System
• Optimal Stationary Control of a Linear System with State-Dependent Noise

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