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Filtering in discrete-time systems with state and observation noises correlated on a finite time interval

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2 Author(s)
Kowalski, A. ; Instytut Matematyki, UMCS, Lublin, Poland ; Szynal, D.

The aim of this note is to give recurrence equations for the state estimate and the error covariance of a linear discrete-time system whose state and observation noises arc correlated on a finite time interval. More precisely, we give the recurrence state estimation equations for the systemx(k + 1) = A (k)x(k) + C(k)w(k)(1)y(k) = B(k)x(k) + upsilon(k), k = 0, 1, 2, ..., (2) under the assumptions that noises w(k) and w(l) are uncorrelated for|k - l| > q, whilew(k)andupsilon(l)are uncorrelated forl - k < -sorl - k > t, whereq, s, tare known nonnegative integers.

Published in:

Automatic Control, IEEE Transactions on  (Volume:31 ,  Issue: 4 )

Date of Publication:

Apr 1986

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