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Optimal filtering in stochastic discrete-time systems with unknown inputs

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2 Author(s)
Borisov, A.V. ; Dept. of Appl. Math., Moscow State Aviation Inst., Russia ; Pankov, A.R.

In this note we derive a recursive filtering algorithm for the linear discrete-time dynamic system with indeterminate-stochastic inputs. The algorithm is based on the minimax-optimal method of parameter estimation in the linear regression model with parameters of two different types: unknown and stochastic with partially known characteristics

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Automatic Control, IEEE Transactions on  (Volume:39 ,  Issue: 12 )