Title :
Convergence properties of an optimal filter design with correlated output noise
Author :
de Souza, Cleidson ; Fernandes, Jose M.
Author_Institution :
Universidade Federal de Uberlândia, Uberlândia, Brazil
fDate :
5/1/1985 12:00:00 AM
Abstract :
This note studies the convergence and stability properties of an optimal filter for systems with Markov measurement noise. The convergence and stability conditions for the design analyzed are the same as those for the optimal f´dter when the measurement noise is assumed to be a nonsingular white noise process.
Keywords :
Kalman filtering, linear systems; Markov processes; Convergence; Covariance matrix; Linear systems; Markov processes; Noise measurement; Nonlinear filters; Process design; Signal processing; Stability analysis; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1985.1103970
