Optimal sequential Kalman filtering with cross-correlated measurement noises
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资源说明:The purpose of this paper is to present a new optimal sequential decentralized filtering algorithm for discrete time-varying linear control systems with cross-correlated noises. The new method uses a hierarchical structure to perform successive orthogonalization of the measurement noises, and drives the new algorithm based on the well-known projection theorem. The estimator can process the system with measurements delay as well as data missing because the update step is just according to the com
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