Filtering for Linear Stochastic Systems With Small Measurement Noise
1995 ◽
Vol 117
(3)
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pp. 425-429
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Keyword(s):
In this paper we present a method which produces complete decomposition of the optimal global Kalman filter for linear stochastic systems with small measurement noise into exact pure-slow and pure-fast reduced-order optimal filters both driven by the system measurements. The method is based on the exact decomposition of the global small measurement noise algebraic Riccati equation into exact pure-slow and pure-fast algebraic Riccati equations. An example is included in order to demonstrate the proposed method.
1975 ◽
Vol 21
(1)
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pp. 1-19
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Keyword(s):
1999 ◽
Vol 122
(3)
◽
pp. 542-550
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Keyword(s):
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
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2019 ◽
Vol 2019
(0)
◽
pp. 7-12
Keyword(s):
2014 ◽
2016 ◽
Vol 38
(6)
◽
pp. 657-664
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Keyword(s):