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Extended Square-Root Covariance Filtering Algorithm for Discrete-Time Systems with Multiplicative and Additive Noises

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Abstract

The paper addresses a problem of constructing extended square-root covariance filtering algorithm for discrete-time linear stochastic systems with multiplicative and additive noises. The developed algorithm is algebraically equivalent to the standard covariance filter but has the improved computational properties inherent to all square-root algorithms. The results of numerical experiments confirming the operability of the proposed algorithm are presented.

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Funding

This work was supported by the Russian Science Foundation, grant no. 22-21-00387, https://rscf.ru/en/project/22-21-00387/.

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Authors and Affiliations

  1. Ulyanovsk State University of Education, 432071, Ulyanovsk, Russia

    A. V. Tsyganov & T. N. Kureneva

  2. Ulyanovsk State University, 432017, Ulyanovsk, Russia

    Yu. V. Tsyganova

Authors
  1. A. V. Tsyganov
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  2. Yu. V. Tsyganova
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  3. T. N. Kureneva
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Corresponding authors

Correspondence to A. V. Tsyganov, Yu. V. Tsyganova or T. N. Kureneva.

Additional information

(Submitted by A. B. Muravnik)

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Tsyganov, A.V., Tsyganova, Y.V. & Kureneva, T.N. Extended Square-Root Covariance Filtering Algorithm for Discrete-Time Systems with Multiplicative and Additive Noises. Lobachevskii J Math 43, 1438–1445 (2022). https://doi.org/10.1134/S199508022209027X

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  • DOI: https://doi.org/10.1134/S199508022209027X

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