Linear minimum mean square filter for discrete-time linear systems with multiplicative noise | IEEE Conference Publication | IEEE Xplore

Linear minimum mean square filter for discrete-time linear systems with multiplicative noise


Abstract:

In this paper we obtain the linear minimum mean square filter for discrete-time linear systems subject to state and measurement multiplicative noises. By using some usual...Show More

Abstract:

In this paper we obtain the linear minimum mean square filter for discrete-time linear systems subject to state and measurement multiplicative noises. By using some usual geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the associated Lyapunov-like and Riccati-like equations is presented.
Date of Conference: 15-17 December 2010
Date Added to IEEE Xplore: 22 February 2011
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Conference Location: Atlanta, GA, USA

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