Stochastic Systems

A suboptimal filter for estimating the state of a continuous linear system from discrete observations

V. N. Ovcharenko

Moscow

Abstract: Reference [1] has suggested a method to design a suboptimal filter of specified order for estimating the state of a dynamic system described by stochastic linear differential or difference equations. This article extends the method to dynamic systems described by stochastic linear differential equations with observation, at discrete times, or vector components where each component is a linear combination of the dynamic system state vector components.

UDC: 62-505.16


Received: 27.11.1979

 English version: Automation and Remote Control, 1981, 41:8, 1093–1097

Bibliographic databases:

• 
•