Linear estimation of continuous-discrete linear state space models with multiplicative noise
نویسندگان
چکیده
This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. Speci1cally, the optimal minimum variance linear 1lter for that class of models is constructed. Moreover, the solutions of the di2erential equations that describe the evolution of the two 1rst conditional moments between observations are obtained and an algorithm for their numerical computation is also given. The performance of the linear 1lter is illustrated by means of numerical experiments. c © 2002 Elsevier Science B.V. All rights reserved.
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عنوان ژورنال:
- Systems & Control Letters
دوره 47 شماره
صفحات -
تاریخ انتشار 2002