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Minimax linear filtering of random sequences with uncertain covariance function

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Abstract

Consideration was given to the development of a numerical method for determination of the minimax filter in the linear stochastic difference system studied over a finite horizon in the presence of an uncertain covariance function in the model of useful signal. Selection of the considered uncertainty sets relied on the form of the corresponding confidence regions. The developed iterative procedure was applied to filtering of the position of a maneuvering target with inexactly given acceleration covariance function.

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Authors and Affiliations

  1. Moscow State Aviation Institute, Moscow, Russia

    K. V. Semenikhin

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  1. K. V. Semenikhin
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Correspondence to K. V. Semenikhin.

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Original Russian Text © K.V. Semenikhin, 2016, published in Avtomatika i Telemekhanika, 2016, No. 2, pp. 50–68.

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Semenikhin, K.V. Minimax linear filtering of random sequences with uncertain covariance function. Autom Remote Control 77, 226–241 (2016). https://doi.org/10.1134/S0005117916020028

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