Title :
Optimal State Estimation with Correlated Multiplicative and Additive Noise and its Application to Measurement Differencing
Author_Institution :
Electrical Engineering Department, University of Arkansas, Fayetteville, AR 72701
Abstract :
The design of mean square optimal, linear, unbiased state estimators is considered for stochastic systems which are acted upon by multiplicative and additive noises which are correlated with each other. The results are applied to a measurement differencing scheme for signal models with white multiplicative and colored measurement noise.
Keywords :
Additive noise; Additive white noise; Colored noise; Difference equations; Noise measurement; Predictive models; State estimation; Stochastic resonance; Stochastic systems; White noise;
Conference_Titel :
American Control Conference, 1990
Conference_Location :
San Diego, CA, USA
