Square-root filtering for discrete-time systems with multiplicative and additive noises

Autor:	T. N. Kureneva, N. A. Volkova, Yu V. Tsyganova, A. V. Tsyganov
Rok vydání:	2021
Předmět:	History Discrete time and continuous time Multiplicative function Applied mathematics Square root filtering Computer Science Applications Education Mathematics
Zdroj:	Journal of Physics: Conference Series. 1745:012114
ISSN:	1742-6596 1742-6588
Popis:	The paper addresses the problem of constructing numerically efficient linear filtering algorithms for discrete-time linear stochastic systems with multiplicative and additive noises. A new square-root covariance algorithm for optimal linear filtering is proposed. We demonstrate that the developed algorithm is algebraically equivalent to the standard covariance filter. Also it has the improved computational properties inherent to all square-root algorithms. The results of numerical experiments confirming the operability of the proposed algorithm are presented.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d6c85df906f190a0f5acb31e3a2757a7 https://doi.org/10.1088/1742-6596/1745/1/012114 Zobrazit plný text záznamu