I. V. Kolos, M. V. Kolos, “An approximate analytical solution of a filtration problem”, Num. Meth. Prog., 2008, Volume 9, Issue 3,Pages <nobr>332

Вычислительные методы и приложения

An approximate analytical solution of a filtration problem

I. V. Kolos^a, M. V. Kolos^b

^a University of Russian Academy of Education
^b Lomonosov Moscow State University, Research Computing Center

Abstract: An analytical expression to determine an approximate value of the impulse transition matrix for an admissible filter is obtained for the problem of linear optimal filtration with degenerate white noise.

Keywords: transition matrix, filtration problem, optimal filtration, degenerate noise, white noise.

UDC: 519.6