Kalman estimation with Brownian disturbances

DOI10.1016/S0016-0032(97)00064-1zbMath0996.93085OpenAlexW1987939146MaRDI QIDQ5959121

Eduard D. Aved'yan, Yakov Z. Tsypkin, Bittanti, Sergio

Publication date: 27 October 2002

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0016-0032(97)00064-1

zbMATH Keywords

linear systemsKalman filteringaugmented state vectorBrownian motion noiseprefiltering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Fast projection methods for minimal design problems in linear system theory
• The Riccati equation
• Explicit solution to the singular discrete-time stationary linear filtering problem
• Explicit solution to the singular LQ regulation problem
• A Class of Learning Systems
• Singular filtering via spectral interactor matrix
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Kalman estimation with Brownian disturbances