Title :
Kalman-Bucy Filters with Singular Correlated Noises
Author :
Hadiji, M.M. ; Sawan, M.E.
Author_Institution :
The Electrical Engineering Department, The Wichita State University, Wichita, Kansas 67208
Abstract :
This paper presents a solution to the singular linear minimum-vaviance estimation problem in the discrete time case. An expression for the transfer function of the Kalman-Bucy filter with nonsingular correlated noises is derived using the spectral factorization in the zdomain. The case of singular correlated noises is then handled as a special case.
Keywords :
Gaussian noise; Nonlinear filters; Observers; Riccati equations; State estimation; Steady-state; Symmetric matrices; Transfer functions; White noise;
Conference_Titel :
American Control Conference, 1989
Conference_Location :
Pittsburgh, PA, USA
