Title :
Optimal state estimation of the general linear ODE with multiplicative and additive Wiener noises
Author :
Zhang, Huichai ; Basin, Michael V. ; Skliar, Mikhail
Author_Institution :
Dept. of Chem. Eng., Utah Univ., Salt Lake City, UT, USA
Abstract :
The problem of the optimal state estimation for systems described by the continuous, linear, n-dimensional ordinary differential equation with multiplicative and additive Wiener noises is solved. The solution essentially relies on the recently developed optimal filtering theory for Ito-Volterra systems.
Keywords :
Volterra equations; differential equations; filtering theory; state estimation; stochastic processes; Ito-Volterra systems; additive Wiener noises; continuous equation; general linear ODE; linear equation; multiplicative Wiener noises; n-dimensional ordinary differential equation; optimal filtering theory; optimal state estimation; Additive noise; Additive white noise; Atmosphere; Atmospheric modeling; Differential equations; Filtering theory; State estimation; State-space methods; Stochastic systems; Vehicles;
Conference_Titel :
American Control Conference, 2005. Proceedings of the 2005
Print_ISBN :
0-7803-9098-9
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2005.1470504
