Abstract The adaptive stochastic filtering problem for Gaussian processes is considered. The selftuning-synthesis procedure is used to derive two algorithms for this problem. Almost sure convergence for the parameter estimate and the filtering error will be established. The convergence analysis is based on an almost-supermartingale convergence lemma that allows a stochastic Lyapunov like approach.


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    Titel :

    Adaptive stochastic filtering problems — The continuous time case


    Beteiligte:


    Erscheinungsdatum :

    01.01.1982


    Format / Umfang :

    7 pages





    Medientyp :

    Aufsatz/Kapitel (Buch)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch




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