To the method of optimal discrete filtering of linear dynamic systems with state-dependent noises

J. V. Tsyganova^a, T. N. Kureneva<sup>b

a</sup> Ulyanovsk State University, Ulyanovsk, Russia
^b Ul'yanovsk State Pedagogical University, Russia

Abstract: The paper considers a method for optimal discrete filtering of linear dynamic systems with state-dependent noises. An algorithm for discrete filtering and its initial conditions have been formulated. We have considered a simple example of the scalar signal filtering. Computer simulation has been performed in Matlab.

Keywords: linear dynamic systems with state-dependent noises, optimal discrete filtering, computer modeling.

UDC: 681.5.015

Received: 31.05.2019