Systems and Means of Informatics
2015, Volume 25, Issue 1, pp 108-126
SYNTHESIS OF STABLE LINEAR PUGACHEV FILTERS
AND EXTRAPOLATORS FOR STOCHASTIC SYSTEMS
WITH WIDE BAND MULTIPLICATIVE NOISES
- I. N. Sinitsyn
- E. R. Korepanov
Abstract
The article is dedicated to the analytical synthesis of continuous and
discrete uniquely asymptotically stable conditionally optimal linear Pugachev
filters and extrapolators (LPF and LPE) for stochastic systems (StS) with wide
band multiplicative Gaussian noises. It is supposed that observation is part
of the state and observation equations. The theorems serving as the basis for
the algorithms of synthesis of continuous uniquely asymptotical stable LPF and
LPE are proven. Continuous LPF and LPE for StS with wide band Gaussian
autocorrelated noises are presented. Discrete LPF and LPE for continuous and
discrete StS with wide band multiplicative Gaussian noises are considered. An
illustrative example is given. Some generalizations are considered.
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[+] About this article
Title
SYNTHESIS OF STABLE LINEAR PUGACHEV FILTERS
AND EXTRAPOLATORS FOR STOCHASTIC SYSTEMS
WITH WIDE BAND MULTIPLICATIVE NOISES
Journal
Systems and Means of Informatics
Volume 25, Issue 1, pp 108-126
Cover Date
2013-11-30
DOI
10.14357/08696527150107
Print ISSN
0869-6527
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
accuracy; continuous stochastic system; discrete stochastic system;
linear Pugachev extrapolator; linear Pugachev filter; multiplicative noises;
Riccati equation; unique asymptotical stability; wide band gaussian
Authors
I.N. Sinitsyn  and E. R. Korepanov
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science
and Control", Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333,
Russian Federation
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