State estimation for discrete-time linear systems with multiplicative and correlated additive noises

  • Wei Liu
  • Published 2014 in
    Proceedings of the 33rd Chinese Control…

Abstract

In this paper, the state estimation problem for discrete-time linear systems with multiplicative noises and correlated additive noises is considered where the multiplicative noises are continuous random matrices of proper dimensions and occur both in the state and measurement models. Using two typical equalities of the optimal linear mean-square estimate… (More)

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