Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 31229
Synthesis of Filtering in Stochastic Systems on Continuous-Time Memory Observations in the Presence of Anomalous Noises

Authors: S. Rozhkova, O. Rozhkova, A. Harlova, V. Lasukov


We have conducted the optimal synthesis of rootmean- squared objective filter to estimate the state vector in the case if within the observation channel with memory the anomalous noises with unknown mathematical expectation are complement in the function of the regular noises. The synthesis has been carried out for linear stochastic systems of continuous - time.

Keywords: Memory, Filtration, mathematical expectation, anomalous noise

Digital Object Identifier (DOI):

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1734


[1] R. E. Kalman, R.S. Bycy, New results in linear filtering and prediction theory, J. Basic Eng. 83 (1961) , pp. 35-45.
[2] R. S. Busy R.S., P.D. Joseph, Filtering for stochastic process with application to guidance, Interscience Publishers, New York, 1968.
[3] A. N. Boguslavskiy, Navigation and control methods on incomplete statistics, Mechanical engineering, Moscow, 1972 (in Russian).
[4] A. Kirichenko, etc. Estimation of the state vector of the dynamic system in the presence of anomalous measurements, Zarubezhnaya Radiotekhnika 12 (1981)pp. 3-23 (in Russian).
[5] Z. Wang, D.W.C Ho, Filtering on nonlinear time-delay stochastic systems. Automatic 39, 1. (2003) pp. 101-109.
[6] N. S. Demin, O.V. Rozhkova, S. V. Rozhkova. Generalized moving extrapolation of stochastic processes of jointly continuous and discrete observations with memory, Izvestiya RAS. Theory and Control Systems 4 (2000) pp. 39-51 (in Russian).
[7] N.S. Demin, V.V. Mikhailuk, Filtering in stochastic dynamical systems under anomalous noise in the observation channel. I. Systems with continuous time, Math. USSR Academy of Sciences, Tekhnicheskaya Kibernetika 4 (1994). pp. 17-27 (in Russian).
[8] N. S. Demin, Filtering random processes in continuous-discrete observations with memory, Avtomatika i Telemekhanika 3 (1987) pp. 59-69 (in Russian).
[9] A. Albert, Regression, pseudoinverse and recursive estimation, Nauka, Moscow, 1977 (in Russian).
[10] M. Athans, The matrix minimum principle, Inform. and Control 11 (1968).
[11] Y. N. Roytenberg, Automatic control, Nauka, Moscow, 1978 (in Russian).
[12] F. R. Gantmakher, Theory of Matrices, Nauka, Moscow, 1978 (in Russian).