Optimal non-linear filtration of the variance of a non-correlated Gaussian process
The algorithm is determined of the optimal non-lineal filtration of a Markovian process controlling the variance of non-correlated Gaussian noise. The normal approximation of the a posteriori probability density is considered as an approximate solution, and the equations for a posteriori mean value and variance of the controlled process are found.
Download file
Counter downloads: 222
Keywords
Authors
| Name | Organization | |
| Bogdanov Alexandr L. | Tomsk State University | wert@niipmm.tsu.ru |
| Terpugov Alexandr F. | Tomsk State University | terpugov@fpmk.tsu.tomsk.su |
References
Хазен Э.М. Теория оптимальных статистических решений и задачи оптимального управления М.: Сов. радио, 1968.256 с.
Поттосина С.А., Терпугов А.Ф. // Изв. вузов. Физика. 1993. № 12. С. 54.
Радюк Л.Е., Терпугов А.Ф. Теория вероятностей и случайных процессов. Томск: Изд-во ТГУ, 1988.174 с.
Гнеденко Б.В. Курс теории вероятностей. М.: Наука, 1969. 400 с.
Федосов Е.Н. //Известия вузов. Физика. 1995. № 3. С. 17.
