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Sistemy i Sredstva Inform., 2015, Volume 25, Issue 1, Pages 108–126 (Mi ssi396)  

This article is cited in 2 scientific papers (total in 2 papers)

Synthesis of stable linear Pugachev filters and extrapolators for stochastic systems with wide band multiplicative noises

I. N. Sinitsyn, E. R. Korepanov

Institute of Informatics Problems, Federal Research Center "Computer Science and Control", Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation

Abstract: The article is dedicated to the analytical synthesis of continuous and discrete uniquely asymptotically stable conditionally optimal linear Pugachev filters and extrapolators (LPF and LPE) for stochastic systems (StS) with wide band multiplicative Gaussian noises. It is supposed that observation is part of the state and observation equations. The theorems serving as the basis for the algorithms of synthesis of continuous uniquely asymptotical stable LPF and LPE are proven. Continuous LPF and LPE for StS with wide band Gaussian autocorrelated noises are presented. Discrete LPF and LPE for continuous and discrete StS with wide band multiplicative Gaussian noises are considered. An illustrative example is given. Some generalizations are considered.

Keywords: accuracy; continuous stochastic system; discrete stochastic system; linear Pugachev extrapolator; linear Pugachev filter; multiplicative noises; Riccati equation; unique asymptotical stability; wide band gaussian.

DOI: https://doi.org/10.14357/08696527150107

Full text: PDF file (263 kB)
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Received: 22.09.2014

Citation: I. N. Sinitsyn, E. R. Korepanov, “Synthesis of stable linear Pugachev filters and extrapolators for stochastic systems with wide band multiplicative noises”, Sistemy i Sredstva Inform., 25:1 (2015), 108–126

Citation in format AMSBIB
\Bibitem{SinKor15}
\by I.~N.~Sinitsyn, E.~R.~Korepanov
\paper Synthesis of stable linear Pugachev filters and extrapolators for stochastic systems with wide band multiplicative noises
\jour Sistemy i Sredstva Inform.
\yr 2015
\vol 25
\issue 1
\pages 108--126
\mathnet{http://mi.mathnet.ru/ssi396}
\crossref{https://doi.org/10.14357/08696527150107}
\elib{https://elibrary.ru/item.asp?id=23875697}


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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. I. N. Sinitsyn, I. V. Sergeev, V. I. Sinitsyn, E. R. Korepanov, V. V. Belousov, V. S. Shorgin, “Matematicheskoe obespechenie sinteza diskretnykh filtrov Pugacheva dlya obrabotki normalnykh protsessov v ereditarnykh stokhasticheskikh sistemakh”, Sistemy i sredstva inform., 25:2 (2015), 20–59  mathnet  crossref  elib
    2. I. N. Sinitsyn, E. R. Korepanov, “Normalnye uslovno-optimalnye filtry Pugacheva dlya differentsialnykh stokhasticheskikh sistem, lineinykh otnositelno sostoyaniya”, Inform. i ee primen., 9:2 (2015), 30–38  mathnet  crossref  elib
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