Title: Control, Stability and Filter for a Discrete Linear Stochastic System with Correlated Noise.
Authors: LESSI Oliviero
Publisher: European Commission
Publication Year: 1986
JRC Publication N°: JRC4165
Other Identifiers: EUR 10632 EN
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC4165
Type: EUR - Scientific and Technical Research Reports
Abstract: FOR A DISCRETE STATIONARY STOCHASTIC LINEAR SYSTEM WITH CORRELATED NOISE WE SHOW THE EXISTENCE OF A LINEAR CONTROL WHICH LEADS TO AN EQUIVALENT MODEL WITH UNCORRELATED NOISE WITHOUT MODIFYING THE STA- BILITY OF THE SYSTEM. UNDER THE HYPOTHESIS OF CORRELATED NOISE THE GAIN OF THE KALMAN FILTER AND THE SOLUTION OF THE RIC- CATI EQUATION ARE DETERMINATED.
JRC Institute:Joint Research Centre Historical Collection

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