DocumentCode
810525
Title
Linear filtering in the presence of time-varying bias
Author
Tacker, Edgar C. ; Lee, Chi C.
Author_Institution
Louisiana State University, Baton Rouge, LA, USA
Volume
17
Issue
6
fYear
1972
fDate
12/1/1972 12:00:00 AM
Firstpage
828
Lastpage
829
Abstract
The problem of estimating the state of a linear system subjected to a time-varying bias with sample paths generated from 
is considered, and an optimal filtering algorithm is derived. It is shown that the structure of the optimal estimator is the same as that determined earlier by Friedland for constant bias disturbances, and that the algorithm possesses the same computational advantages over the augmented Kalman-Bucy filter.
is considered, and an optimal filtering algorithm is derived. It is shown that the structure of the optimal estimator is the same as that determined earlier by Friedland for constant bias disturbances, and that the algorithm possesses the same computational advantages over the augmented Kalman-Bucy filter.Keywords
Linear systems, stochastic continuous-time; State estimation; Covariance matrix; Equations; Filtering algorithms; Filters; Lead; Least squares methods; Maximum likelihood detection; Partitioning algorithms; State estimation; Time varying systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1972.1100162
Filename
1100162
Link To Document