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Optimal Filtering for Discrete-Time Linear Systems With Time-Correlated Multiplicative Measurement Noises.
- Source :
-
IEEE Transactions on Automatic Control . Jul2016, Vol. 61 Issue 7, p1972-1978. 7p. - Publication Year :
- 2016
-
Abstract
- In this note, the filtering problem for discrete-time linear systems with time-correlated multiplicative measurement noises is considered where the vector consisting of all the multiplicative measurement noises can be described by a linear system model with white noise. By introducing several new recursive terms, a novel algorithm for optimal filtering of the system under consideration is proposed in the sense of linear minimum mean-square error. The proposed algorithm is recursive and has time-independent complexity. Computer simulations are provided to illustrate the performance of the proposed algorithm. [ABSTRACT FROM PUBLISHER]
Details
- Language :
- English
- ISSN :
- 00189286
- Volume :
- 61
- Issue :
- 7
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Automatic Control
- Publication Type :
- Periodical
- Accession number :
- 116436191
- Full Text :
- https://doi.org/10.1109/TAC.2015.2480238