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JOURNALS // Avtomatika i Telemekhanika // Archive
Avtomat. i Telemekh., 1974 Issue 1, Pages 35–41 (Mi at8223)
Stochastic Systems

Equations of near-optimal Kalman filter with a singular matrix of noise covariations in observations

R. Sh. Liptser

Moscow

Abstract: Equations are derived for a near-optimal Kalman filter in the problem of filtration with a degenerated matrix of noise covariations in observations.

UDC: 621.372.54:519.2


Received: 12.03.1973


 English version: Automation and Remote Control, 1974, 35:1, 29–35

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© Steklov Math. Inst. of RAS, 2024