The Kalman-Bucy filter in the guaranteed estimation problem

The optimal guaranteed a priori estimation problem is considered. The Kalman-Bucy filter is used for the approximate solving of this problem. The analytical estimate for the nonoptimality degree of the Kalman-Bucy filter is obtained. This estimate is determined by the Kalman-Bucy filter characteristics only. Thus the Kalman-Bucy filter efficiency can be established without accurate solving of the difficult optimal guaranteed estimation problem.<
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