Optimal quadratic filtering of linear discrete-time non-Gaussian systems

DOI10.1109/9.400478zbMATH Open0836.93056OpenAlexW2064756505MaRDI QIDQ4850263FDOQ4850263

Authors:

Publication date: 2 May 1996

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

Full work available at URL: https://doi.org/10.1109/9.400478

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zbMATH Keywords

non-Gaussiangeometric approachdiscrete-timelinearpolynomial state estimatesecond-order polynomial transformations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55)

Cited In (38)

• Hybrid filtering for linear systems with non-Gaussian disturbances
• Recursive filtering in discrete nonlinear systems with unknown parameters
• State estimation of stochastic systems with switching measurements: a polynomial approach
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• Polynomial fixed-point smoothing of uncertainly observed signals based on covariances
• On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method
• Extended optimality properties of the linear quadratic regulator and stationary Kalman filter
• Quasioptimal nonlinear filtering with regularization
• Quadratic filtering for linear stochastic systems with dynamical bias under amplify-and-forward relays: dealing with non-Gaussian noises
• Linear and quadratic estimation using uncertain observations from multiple sensors with correlated uncertainty
• Quadratic estimation for discrete time-varying non-Gaussian systems with multiplicative noises and quantization effects
• Feedback quadratic filtering
• On the optimal state estimation of a class of discrete-time nonlinear systems
• Least-squares \(\nu\) th-order polynomial estimation of signals from observations affected by non-independent uncertainty
• Mean square estimation and projections
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• Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem
• Quadratic estimation from uncertain observations with white plus coloured noises using covariance information
• Optimal linear-quadratic systems for detection and estimation
• Linear estimation of continuous-discrete linear state space models with multiplicative noise
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• A comparative analysis of the forms of quasioptimal filtering algorithms in the case of anomalous and noninformative measurement results
• Quadratic covariance‐constrained filtering for linear and non‐linear systems with non‐Gaussian noises
• Quadratic filtering for discrete time-varying non-Gaussian systems under binary encoding schemes
• High-order filters for estimation in non-Gaussian noise
• Least-squares polynomial estimation from observations featuring correlated random delays
• Suboptimal Kalman filtering for linear systems with Gaussian-sum type of noise
• Nonstatistical formulation and solution of a filtering problem
• Robust Kalman filter for linear discrete-time system with gaussian sum noises
• Alternative state estimation from nongaussian observation
• Filtering and analysis of linear discrete control systems under a nonparametric specification of the correlated noises
• Quadratic estimation problem in discrete-time stochastic systems with random parameter matrices
• Quadratic filtering for discrete-time systems with measurement delay and packet dropping
• Nonlinear filtering for discrete-time linear systems with non-Gaussian initial data

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