Polynomial Filtering of Discrete-Time Stochastic Linear Systems with Multiplicative State Noise

  title={Polynomial Filtering of Discrete-Time Stochastic Linear Systems with Multiplicative State Noise},
  author={Francesco Carravetta and Alfredo Germani and Massimo Raimondi},
In this paper, the problem of finding an optimal polynomial state estimate for the class of stochastic linear models with a multiplicative state noise term is studied. For such models, a technique of state augmentation is used, leading to the definition of a general polynomial filter. The theory is developed for time-varying systems with nonstationary and non-Gaussian noises. Moreover, the steady-state polynomial filter for stationary systems is also studied. Numerical simulations show the high… CONTINUE READING
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