On estimation of discrete processes under multiplicative and additive noise conditions

Authors:
A. G. Jaffer;S. C. Gupta
Affiliations:
-;-
Venue:
Information Sciences: an International Journal
Year:
1971

Citing 2
Cited 5

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1971 kyow symposium paper: Optimal stochastic control for discrete-time linear system with interrupted observations

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Abstract

In many problems which arise in communication and control theory contexts, the stochastic process to be estimated has been subjected to multiplicative disturbances, in addition to being corrupted by additive noise. This work is concerned with the problem of recursive Bayesian estimation of discrete Gauss-Markov processes under additive and Markov multiplicative noise conditions. Optimal and suboptimal estimator algorithms, which can be computed recursively, are developed. Digital computer simulations of the estimators are also presented and their performances evaluated.