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

DOI10.1109/9.62277MaRDI QIDQ3211220zbMATH OpenOpenAlexFDO

Authors S. Shats, U. 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) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15) Sampled-data control/observation systems (93C57) Estimation and detection in stochastic control theory (93E10)

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Cited in

(6)

• 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
• Calculation of discrete-time process noise statistics for hybrid continuous/discrete-time applications
• 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
• Filtering in discrete-time systems with state and observation noises correlated on a finite time interval

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