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 MoreMetadata
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.
Published in: 49th IEEE Conference on Decision and Control (CDC)
Date of Conference: 15-17 December 2010
Date Added to IEEE Xplore: 22 February 2011
ISBN Information: