Stochastic Systems

Generalization of the theory of conditionally optimal filtering to the case when the noise in the observation is different from white noise

I. D. Siluyanova

Moscow

Abstract: The method of conditionally optimal estimation of variables and parameters in nonlinear stochastic systems developed by V. S. Pugachev is extended to the case where the noise in observation is not white and is described by stochastic differential equations. The signal is observed prior to generation of white noise and the resultant derivatives are introduced into equations of admissible filters.

UDC: 62-501.5, 621.391.272


Received: 02.02.1984

 English version: Automation and Remote Control, 1985, 46:4, 467–474

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