Stochastic Systems

On computing the factors in equations of conditionally optimal filters

M. L. Dashevskii, I. D. Siluyanova

Moscow

Abstract: The paper is concerned with computing the factors of conditionally optimal filters for continuous random processes. An example is given of errors which may result from computing through minimization of the error variance derivative when no accurate solution exists for the problem of conditionally optimal evaluation. An effective suboptimal solution is shown to exist in this case.

UDC: 621.391.272


Received: 23.05.1983

 English version: Automation and Remote Control, 1984, 45:10, 1300–1303

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