Generalized Chandrasekhar algorithms for distributed-parameter filtering problem with pointwise coloured measurement noise

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3 Citations (Scopus)

Abstract

This paper presents a computationally advantageous approach to the solution of Riccati-typc partial differential equation in the filtering problem for linear distributed-parameter systems with coloured measurement noise. The generalized distributed-type Chandrasekhar algorithms that are derived are applicable to time-varying systems as well as time-invariant ones. It is shown that these algorithms are given in terms of the generalized observability and controllability matrices (or operators) for distributed-parameter systems with pointwise observation.

Original languageEnglish
Pages (from-to)619-637
Number of pages19
JournalInternational Journal of Systems Science
Volume13
Issue number6
DOIs
Publication statusPublished - 1982
Externally publishedYes

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Distributed Parameter Systems
Filtering
Riccati Differential Equation
Time-varying Systems
Time varying systems
Observability
Controllability
Partial differential equations
Partial differential equation
Invariant
Operator
Observation

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Theoretical Computer Science
  • Computational Theory and Mathematics
  • Management Science and Operations Research

Cite this

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abstract = "This paper presents a computationally advantageous approach to the solution of Riccati-typc partial differential equation in the filtering problem for linear distributed-parameter systems with coloured measurement noise. The generalized distributed-type Chandrasekhar algorithms that are derived are applicable to time-varying systems as well as time-invariant ones. It is shown that these algorithms are given in terms of the generalized observability and controllability matrices (or operators) for distributed-parameter systems with pointwise observation.",
author = "Keigo Watanabe",
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