2015
DOI: 10.1109/tsp.2015.2447491
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Optimal Estimation for Discrete-Time Linear Systems in the Presence of Multiplicative and Time-Correlated Additive Measurement Noises

Abstract: In this paper, the state estimation problem for discrete-time linear systems influenced by multiplicative and time-correlated additive measurement noises is considered where the multiplicative noises are zero-mean white noise sequences, and the time-correlated additive noise is described by a linear system model with white noise. An optimal linear estimator for the system under consideration is proposed, which does not require computing the inverse of state transition matrix. The proposed estimator has a recur… Show more

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Cited by 68 publications
(54 citation statements)
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“…The proposed robust filtering methodology has developed and extended the Lyapunov equation approach [5][6][7][8] and the fictitious noise technique, 11,12,[15][16][17][18][19][20][21][22][23][24][25][26] and it was completely different from the Riccati equation approach, 11,12,15,16 LMI approach, [17][18][19] game-theoretic approach, 2 and polynomial approach. 3 The convergence theory and the method of classic Kalman filtering were developed and extended.…”
Section: Discussionmentioning
confidence: 99%
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“…The proposed robust filtering methodology has developed and extended the Lyapunov equation approach [5][6][7][8] and the fictitious noise technique, 11,12,[15][16][17][18][19][20][21][22][23][24][25][26] and it was completely different from the Riccati equation approach, 11,12,15,16 LMI approach, [17][18][19] game-theoretic approach, 2 and polynomial approach. 3 The convergence theory and the method of classic Kalman filtering were developed and extended.…”
Section: Discussionmentioning
confidence: 99%
“…For example, only the uncertain noise variances, [5][6][7] only the multiplicative noises, 11,12,[15][16][17][18][19][20][21][22][23][24][25][26] and only the packet dropouts [28][29][30][31] were considered in previous works, respectively, and the packet dropouts 11,12,[15][16][17][18][19][20][21][22][23][24][25][26] and the uncertain noise variances [33][34][35][36][37] were not considered in other previous works, respectively. Further work will be to solve the robust fusion Kalman filtering problem for multisensor networked systems with mixed uncertainties.…”
Section: Discussionmentioning
confidence: 99%
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