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JOURNALS // Avtomatika i Telemekhanika // Archive

Avtomat. i Telemekh., 2011 Issue 2, Pages 167–182 (Mi at1293)

This article is cited in 13 papers

Topical issue

Robust filtering of process in the stationary difference stochastic system

A. R. Pankov, E. N. Platonov, K. V. Semenikhin

Moscow State Aviation Institute, Moscow, Russia

Abstract: A technique to construct the robust Kalman filter for process estimation in the difference linear stationary stochastic system with an unknown covariance observation error matrix was developed. Consideration was given to the algorithm of constructing the set of permissible covariance matrices from a priori statistical data. A numerical method for solution of the general minimax optimization problem was proposed; and on its basis an iterative algorithm to calculate the robust filter parameters was developed, and its convergence was proved. Results of the numerical experiment were presented.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.06.2010


 English version:
Automation and Remote Control, 2011, 72:2, 377–392

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