Extended Square-Root Covariance Filtering Algorithm for Discrete-Time Systems with Multiplicative and Additive Noises

The paper addresses a problem of constructing extended square-root covariance filtering algorithm for discrete-time linear stochastic systems with multiplicative and additive noises. The developed algorithm is algebraically equivalent to the standard covariance filter but has the improved computatio...

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Bibliographic Details
Published in:Lobachevskii journal of mathematics 2022-06, Vol.43 (6), p.1438-1445
Main Authors: Tsyganov, A. V., Tsyganova, Yu. V., Kureneva, T. N.
Format: Article
Language:English
Subjects:
Algebra
Algorithms
Analysis
Covariance
Discrete time systems
Filtration
Geometry
Mathematical Logic and Foundations
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Stochastic systems
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Summary:The paper addresses a problem of constructing extended square-root covariance filtering algorithm for discrete-time linear stochastic systems with multiplicative and additive noises. The developed algorithm is algebraically equivalent to the standard covariance filter but has the improved computational properties inherent to all square-root algorithms. The results of numerical experiments confirming the operability of the proposed algorithm are presented.
ISSN:1995-0802
1818-9962
DOI:10.1134/S199508022209027X