Title :
A smoothing algorithm for systems with multiplicative noise
Author :
Phillis, Yannis A.
Author_Institution :
Production Syst. Dept., Tech. Univ. of Crete, Chania, Greece
fDate :
4/1/1988 12:00:00 AM
Abstract :
A fixed-point smoothing algorithm is derived for linear time-varying systems with multiplicative noise in the state channels of the plant and the measurements as well as additive noise. As in systems without multiplicative noise, the smoothed estimates depend on the filtered estimates. The steady-state behavior of the algorithm is examined. If the multiplicative part is absent, then the results coincide with known results for systems with additive noise
Keywords :
linear systems; parameter estimation; time-varying systems; fixed-point smoothing algorithm; linear time varying systems; multiplicative noise; state channels; steady-state behavior; Adaptive control; Additive noise; Automatic control; Control systems; Noise measurement; Polynomials; Programmable control; Smoothing methods; State-space methods; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
