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Automation and Remote Control

, Volume 67, Issue 3, pp 413–427 | Cite as

Minimax filtering in linear stochastic uncertain discrete-continuous systems

  • G. B. Miller
  • A. R. Pankov
Stochastic Systems

Abstract

Filtering of the states of a system, whose dynamics is defined by an Ito stochastic differential equation, by discrete and discrete-continuous observations is studied under the assumption that the intensities of continuous noises and covariance matrices of discrete noises are known only within to membership of certain uncertainty sets. A minimax approach is used to solve the problem. The filter is optimized with an integral quality criterion. Minimax filtering equations are derived from the solution of the dual optimization problem. A numerical solution algorithm for the problem is designed. Results of numerical experiments are presented.

PACS number

02.50.Ey 

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Copyright information

© Pleiades Publishing, Inc. 2006

Authors and Affiliations

  • G. B. Miller
    • 1
  • A. R. Pankov
    • 1
  1. 1.Moscow State Aviation InstituteMoscowRussia

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