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Trace bounds on the covariances of continuous-time systems with multiplicative noise

Yannis Phillis, Vassilis S. Kouikoglou

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URIhttp://purl.tuc.gr/dl/dias/46DD936D-769F-413B-AC82-20892935982E-
Identifierhttps://doi.org/ 10.1109/9.186326-
Languageen-
Extent5 pagesen
TitleTrace bounds on the covariances of continuous-time systems with multiplicative noiseen
CreatorYannis Phillisen
CreatorΦιλλης Ιωαννηςel
CreatorVassilis S. Kouikoglouen
PublisherIEEEen
Content SummaryMatrix equations such as AP+PAT+FPFT+Ω=0 and AQ+QAT+-QVQ+FPFT +Ω=0, which arise in the estimation problem of systems with both additive and multiplicative noise, are treated. Trace bounds on the steady-state and error covariances P and Q are established, under complete and incomplete noise information. An example illustrates the usefulness of these bounds in determining the size of the estimation errorel
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2015-10-06-
Date of Publication2015-
SubjectGreek mathematicsen
Subjectmathematics greeken
Subjectgreek mathematicsen
Bibliographic CitationV. S. Kouikoglou , Y. A. Phillis, "Trace bounds on the covariances of continuous-time systems with multiplicative noise," IEEE Trans. on Aut. control, vol. 38, no. 1, pp. 138- 142, 1993.doi : 10.1109/9.186326en

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