Control and digital modelling of a Kalman-Bucy filter for systems having degenerate noise in the observations (Q1108997)
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scientific article; zbMATH DE number 4068752
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| English | Control and digital modelling of a Kalman-Bucy filter for systems having degenerate noise in the observations |
scientific article; zbMATH DE number 4068752 |
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Control and digital modelling of a Kalman-Bucy filter for systems having degenerate noise in the observations (English)
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1987
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A digital approximation of a Kalman-Bucy filter for systems having degenerate noise in the observations is presented. The accuracy of this approximating method substantially depends on the choice of the digitizing interval h. The method for choosing a right interval h that guarantees satisfactory estimating accuracy is investigated. Some numerical experiments show the results.
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digital approximation
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Kalman-Bucy filter
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degenerate noise
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0.8058825135231018
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0.7677521705627441
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