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Optimal ℋ2 filtering for linear stochastic systems with multiplicative white noise perturbations and sampled measurements | IEEE Conference Publication | IEEE Xplore

Optimal ℋ2 filtering for linear stochastic systems with multiplicative white noise perturbations and sampled measurements


Abstract:

This paper addresses the problem of optimal ℋ2 filtering for a class of continuous-time stochastic systems with periodic sampled measurements. The class of admissible fil...Show More

Abstract:

This paper addresses the problem of optimal ℋ2 filtering for a class of continuous-time stochastic systems with periodic sampled measurements. The class of admissible filters consists of deterministic continuous-time periodic systems with finite jumps. The optimal solution of the considered optimization problem is obtained by integrating a suitably defined generalized continuous-time Riccati equation with finite jumps.
Date of Conference: 21-23 July 2015
Date Added to IEEE Xplore: 10 December 2015
Electronic ISBN:978-9-8975-8149-6
Conference Location: Colmar, France

References

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