State estimation from measurements with correlated noise without using differentiators†

DOI10.1080/00207177108931923zbMath0216.27902OpenAlexW2037252295MaRDI QIDQ5619771

P. E. Sarachik

Publication date: 1971

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207177108931923

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Related Items (4)

Direct solution to the general reduced-order stochastic observation problem ⋮ A new characterization of some structural properties of linear systems: unknown-input observability, invertibility and functional controllability† ⋮ Minimal-order observer-estimators for continuous-time linear systems ⋮ Low sensitivity feedback gains for deterministic and stochastic control systems

Cites Work

• Optimal filtering for correlated noise
• Optimal filtering for Gauss—Markov noise

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