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Regularization of a generalized Kalman filter

✍ Scribed by B.M. Miller; E.Ya. Rubinovich

Publisher: Elsevier Science
Year: 1995
Tongue: English
Weight: 830 KB
Volume: 39
Category: Article
ISSN: 0378-4754
DOI: 10.1016/0378-4754(95)00024-r

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✦ Synopsis

The authors derive equations for optimum and near-optimum Kalman filters for the filtration problem with a singular covariance matrix for the noise in the observations in the case when the processes under consideration are described by Ito's stochastic differential equations with measure.

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