Discrete-time filtering of noise correlated continuous-time processes: modeling and derivation of the sampling period sensitivities

DOI10.1109/9.62277zbMath0722.93072OpenAlexW2146301015MaRDI QIDQ3211220

S. Shats, Uri Shaked

Publication date: 1991

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.62277

zbMATH Keywords

discrete-time modelcontinuous-timecorrelated noise processesMaclaurin's expansionswhite noise signals

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Sampled-data control/observation systems (93C57) Control/observation systems governed by ordinary differential equations (93C15)

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Multirate LQG control of continuous-time stochastic systems ⋮ Optimal sampling-rates and tracking properties of digital LQ and LQG tracking controllers for systems with an exogenous component and costs associated to sampling ⋮ Issues in sampling and estimating continuous-time models with stochastic disturbances ⋮ Strong tracking filtering of nonlinear time-varying stochastic systems with coloured noise: application to parameter estimation and empirical robustness analysis

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