• DocumentCode
    2565478
  • Title

    Linear minimum mean square filter for discrete-time linear systems with multiplicative noise

  • Author

    Costa, O.L.V. ; Benites, G.R.A.M.

  • Author_Institution
    Dept. de Eng. de Telecomun. e Controle, Univ. de Sao Paulo, São Paulo, Brazil
  • fYear
    2010
  • fDate
    15-17 Dec. 2010
  • Firstpage
    7706
  • Lastpage
    7711
  • Abstract
    In this paper we obtain the linear minimum mean square filter for discrete-time linear systems subject to state and measurement multiplicative noises. By using some usual geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the associated Lyapunov-like and Riccati-like equations is presented.
  • Keywords
    Kalman filters; discrete time systems; least mean squares methods; linear systems; Kalman type filter; Lyapunov-like equations; Riccati-like equations; discrete-time linear systems; geometric arguments; linear minimum mean square filter; multiplicative noise; Covariance matrix; Equations; Kalman filters; Linear systems; Noise; Noise measurement; Vectors;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control (CDC), 2010 49th IEEE Conference on
  • Conference_Location
    Atlanta, GA
  • ISSN
    0743-1546
  • Print_ISBN
    978-1-4244-7745-6
  • Type

    conf

  • DOI
    10.1109/CDC.2010.5717037
  • Filename
    5717037
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2565478