Title :
Trace bounds on the covariances of continuous-time systems with multiplicative noise
Author :
Kouikoglou, Vassilis S. ; Phillis, Yannis A.
Author_Institution :
Dept. of Prod. Eng. & Manage., Tech. Univ. of Crete, Chania, Greece
fDate :
1/1/1993 12:00:00 AM
Abstract :
Matrix equations such as AP+PAT+FPFT+Ω=0 and AQ+QAT+-QVQ+FPFT +Ω=0, which arise in the estimation problem of systems with both additive and multiplicative noise, are treated. Trace bounds on the steady-state and error covariances P and Q are established, under complete and incomplete noise information. An example illustrates the usefulness of these bounds in determining the size of the estimation error
Keywords :
filtering and prediction theory; matrix algebra; noise; parameter estimation; state estimation; continuous-time systems; covariances; filtering; matrix algebra; multiplicative noise; parameter estimation; state estimation; trace bounds; Additive noise; Automata; Automatic control; Control systems; Covariance matrix; Discrete event systems; Eigenvalues and eigenfunctions; Steady-state; Supervisory control; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
