DocumentCode :
810525
Title :
Linear filtering in the presence of time-varying bias
Author :
Tacker, Edgar C. ; Lee, Chi C.
Author_Institution :
Louisiana State University, Baton Rouge, LA, USA
Volume :
17
Issue :
6
fYear :
1972
fDate :
12/1/1972 12:00:00 AM
Firstpage :
828
Lastpage :
829
Abstract :
The problem of estimating the state of a linear system subjected to a time-varying bias with sample paths generated from 
is considered, and an optimal filtering algorithm is derived. It is shown that the structure of the optimal estimator is the same as that determined earlier by Friedland for constant bias disturbances, and that the algorithm possesses the same computational advantages over the augmented Kalman-Bucy filter.
is considered, and an optimal filtering algorithm is derived. It is shown that the structure of the optimal estimator is the same as that determined earlier by Friedland for constant bias disturbances, and that the algorithm possesses the same computational advantages over the augmented Kalman-Bucy filter.Keywords :
Linear systems, stochastic continuous-time; State estimation; Covariance matrix; Equations; Filtering algorithms; Filters; Lead; Least squares methods; Maximum likelihood detection; Partitioning algorithms; State estimation; Time varying systems;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1972.1100162
Filename :
1100162
Link To Document :
