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

DOI10.1109/9.62277zbMATH Open0722.93072OpenAlexW2146301015MaRDI QIDQ3211220FDOQ3211220

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

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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)

Cited In (6)

• Optimal sampling-rates and tracking properties of digital LQ and LQG tracking controllers for systems with an exogenous component and costs associated to sampling
• Strong tracking filtering of nonlinear time-varying stochastic systems with coloured noise: application to parameter estimation and empirical robustness analysis
• Filtering in discrete-time systems with state and observation noises correlated on a finite time interval
• Calculation of discrete-time process noise statistics for hybrid continuous/discrete-time applications
• Multirate LQG control of continuous-time stochastic systems
• Issues in sampling and estimating continuous-time models with stochastic disturbances

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