The Kalman-Bucy Filter for Linear Stochastic Dynamic Systems with Discontinuous Trajectories

The Kalman-Bucy Filter for Linear Stochastic Dynamic Systems with Discontinuous Trajectories

An optimal linear filtration problem is considered in the paper based on Kalman-Bucy results. The sequential linear regression method being a modification of fundamental Wiener results is used. [PUBLICATION ABSTRACT]

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Veröffentlicht in:Cybernetics and systems analysis 2003-03, Vol.39 (2), p.235
Hauptverfasser: V. Yu. Bereza, Yasinskii, V K
Format: Artikel
Sprache:eng
Schlagworte:
Linear programming
Optimization
Random variables
Regression analysis
Stochastic models
Studies
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Zusammenfassung:An optimal linear filtration problem is considered in the paper based on Kalman-Bucy results. The sequential linear regression method being a modification of fundamental Wiener results is used. [PUBLICATION ABSTRACT]
ISSN:1060-0396
1573-8337