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

Volume

Issue

fYear

1993

fDate

1/1/1993 12:00:00 AM

Firstpage

138

Lastpage

142

Abstract

Matrix equations such as AP+PA^T+FPF^T+Ω=0 and AQ+QA^T+-QVQ+FPF^T+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;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.186326

Filename

186326

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=834942