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Abstract

For a discrete stationary stochastic linear system with correlated noise we show the existence of a linear control which leads to an equivalent model with uncorrelated noise without modifying the stability of the system. Under the hypothesis of correlated noise the gain of the Kalman filter and the solution of the Riccati equation are determined.

Additional information

Authors: LESSI O JRC ISPRA ESTAB. (ITALY), JRC ISPRA ESTAB. (ITALY)
Bibliographic Reference: EUR 10632 EN (1986) MF, 14 P., BFR 150, BLOW-UP COPY BFR 200, EUROFFICE, LUXEMBOURG, POB 1003
Availability: Can be ordered online
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