Linear estimation of continuous-discrete linear state space models with multiplicative noise

被引：22

作者：

Jimenez, JC

Ozaki, T

机构：

[1] Inst Cibernet Matemat & Fis, Havana 10400, Cuba

[2] Inst Stat Math, Dept Predict & Control, Minato Ku, Tokyo 1068569, Japan

来源：

SYSTEMS & CONTROL LETTERS | 2002年 / 47卷 / 02期

关键词：

optimal minimum variance estimation; linear state space models; multiplicative noise; Kalman filter;

D O I：

10.1016/S0167-6911(02)00150-0

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. Specifically, the optimal minimum variance linear filter for that class of models is constructed. Moreover, the solutions of the differential equations that describe the evolution of the two first conditional moments between observations are obtained and an algorithm for their numerical computation is also given. The performance of the linear filter is illustrated by means of numerical experiments. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：91 / 101

页数：11

共 20 条

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