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.
LESSI Oliviero;
1995-03-15
European Commission
JRC4165
EUR 10632 EN,
https://publications.jrc.ec.europa.eu/repository/handle/JRC4165,
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