Limiting optimal adaptive filtering with unknown disturbance covariance

DOI10.3103/S1063454111040042zbMATH Open1272.93117OpenAlexW1967383752MaRDI QIDQ357745FDOQ357745

A. E. Barabanov, D. V. Romaev

Publication date: 13 August 2013

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1063454111040042

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Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40) Perturbations in control/observation systems (93C73)

Cites Work

• Analysis of recursive stochastic algorithms

Cited In (4)

• Linear filtering with adaptive adjustment of the disturbance covariation matrices in the plant and measurement noise
• Adaptive filter for systems with unknown noise covariances using an instrumental performance functional
• LMI-based minimax estimation and filtering under unknown covariances
• Title not available (Why is that?)

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