Optimal state estimation of the general linear ODE with multiplicative and additive Wiener noises

Author

Zhang, Huichai ; Basin, Michael V. ; Skliar, Mikhail

Author_Institution

Dept. of Chem. Eng., Utah Univ., Salt Lake City, UT, USA

fYear

2005

fDate

8-10 June 2005

Firstpage

3441

Abstract

The problem of the optimal state estimation for systems described by the continuous, linear, n-dimensional ordinary differential equation with multiplicative and additive Wiener noises is solved. The solution essentially relies on the recently developed optimal filtering theory for Ito-Volterra systems.

Keywords

Volterra equations; differential equations; filtering theory; state estimation; stochastic processes; Ito-Volterra systems; additive Wiener noises; continuous equation; general linear ODE; linear equation; multiplicative Wiener noises; n-dimensional ordinary differential equation; optimal filtering theory; optimal state estimation; Additive noise; Additive white noise; Atmosphere; Atmospheric modeling; Differential equations; Filtering theory; State estimation; State-space methods; Stochastic systems; Vehicles;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference, 2005. Proceedings of the 2005

ISSN

0743-1619

Print_ISBN

0-7803-9098-9

Electronic_ISBN

0743-1619

Type

conf

DOI

10.1109/ACC.2005.1470504

Filename

1470504

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3551060