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- W1776290705 abstract "In this paper, we consider the L 2 -stability of Kalman filter for discrete-time linear system with random coefficient matrices, where incorrect covariances of process noise, measurement noise and initial value are emphasized. We prove, under some suitable conditions, such as boundedness of coefficient matrices, conditional observability and boundedness of initial error and noises, the L 2 -stability of state estimation error by Kalman filter is achieved. The equivalence between Kalman filter and state-space least squares algorithm is also contained. Based on this equivalence, the L 2 -stability of state estimation error by state-space least squares is obtained, too. A numerical example is given to demonstrate the efficiency of the estimation algorithm." @default.
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- W1776290705 date "2012-07-25" @default.
- W1776290705 modified "2023-09-24" @default.
- W1776290705 title "L 2 -stability of discrete-time Kalman filter with incorrect covariances" @default.
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