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UDC 519-7
Joint use of Kalman filter and minimax filter in the assessment problem of parameters for random process model
Anton Sergeevich Sheludko, engineer of Applied Mathematics Department of South Ural State University, Chelyabinsk, Russian Federation, antonsheludko@gmail.com
Vladimir Ivanovich Shiryaev, Doctor of Science (Engineering), professor, head of Control Systems Department of South Ural State University, Chelyabinsk, Russian Federation, vis@susu.ac.ru
Abstract
The article considers the problem of reconstruction of a random process model by a singular realization in terms of a small number of available measurements. The problem of parameters assessment is shown as the problem of assessment of state vector in the model of a dynamic system with variable matrix of measurement. The possibility of a joint use of filtration algorithm to specify multiple estimation of a state vector is studied.
Keywords
random process, Kalman filter, minimax filter
References
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Source
Bulletin of the South Ural State University. Ser. Computer Technologies, Automatic Control, Radio Electronics, 2012, iss. 17, no. 35 (294) , pp. 59-64. (in Russ.) (The main)