Accession Number:

AD0646275

Title:

OPTIMAL FILTERING FOR CORRELATED NOISE,

Descriptive Note:

Corporate Author:

RAND CORP SANTA MONICA CALIF

Personal Author(s):

Report Date:

1966-09-01

Pagination or Media Count:

20.0

Abstract:

The Kalman-Bucy theory of linear filtering for observations corrupted by white noise is extended to colored noise problems without state augmentation. By considering natural correlated case definitions of controllability and observability, the stability, steady-state existence, and uniqueness are shown to be consequences of the theory for the white noise filter. Author

Subject Categories:

  • Cybernetics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE