화학공학소재연구정보센터
IEEE Transactions on Automatic Control, Vol.39, No.12, 2461-2464, 1994
Optimal Filtering in Stochastic Discrete-Time-Systems with Unknown Inputs
In this note we derive a recursive filtering algorithm for the linear discrete-time dynamic system with indeterminate-stochastic inputs. The algorithm is based on the minimax-optimal method of parameter estimation in the linear regression model with parameters of two different types : unknown and stochastic with partially known characteristics.