Control, Stability and Filter for a Discrete Linear Stochastic System with Correlated Noise.

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,