Weiner and Kalman filters for systems with random parameters

DOI10.1109/TAC.1984.1103581MaRDI QIDQ3338071zbMATH OpenFDO

Authors M. J. Grimble

Publication date 1984

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

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)

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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
• scientific article; zbMATH DE number 5631894 (Why is no real title available?)
• On Kalman filtering for conditionally Gaussian systems with random matrices
• scientific article; zbMATH DE number 605149 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 2233620 (Why is no real title available?)
• Robust performance optimization of open loop type problems using models from standard identification

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