Weiner and Kalman filters for systems with random parameters

DOI10.1109/TAC.1984.1103581zbMATH Open0546.93070MaRDI QIDQ3338071FDOQ3338071

Authors: M. J. Grimble 

Publication date: 1984

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

Recommendations

• scientific article; zbMATH DE number 4109752
• Optimal filtering over linear observations with unknown parameters
• The Kalman-Bucy Filter as a True Time-Varying Wiener Filter
• Stochastic Processes, Estimation, and Control
• On the stability of the Kalman–Bucy filter with stationary time varying parameters

zbMATH Keywords

equivalence principleoptimal estimatesWiener filterKalman-Bucy filterslinear stationary optimal filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Linear systems in control theory (93C05) Model systems in control theory (93C99) Optimal stochastic control (93E20)

Cited In (12)

• The optimal projection equations for reduced-order, discrete-time state estimation for linear systems with multiplicative white noise
• Stochastic Wiener filter in the white noise space
• Robust filtering and feedforward control based on probabilistic descriptions of model errors
• Optimal estimation and filtration under unknown covariances of random factors
• Minimal-order Wiener filter for a system with exact measurements
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Kalman filtering for conditionally Gaussian systems with random matrices
• Optimal moving average filter with application to self-tuning type control against deterministic disturbances
• A mapping result between Wiener theory and Kalman filtering for nonstationary processes
• Title not available (Why is that?)
• Robust performance optimization of open loop type problems using models from standard identification

This page was built for publication: Weiner and Kalman filters for systems with random parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3338071)