Systems and Means of Informatics
2015, Volume 25, Issue 2, pp 20-59SOFTWARE FOR SYNTESIS OF DISCRETE PUGACHEV FILTERS FOR NORMAL PROCESSES IN HEREDITARY STOCHASTIC SYSTEMS
- I. N. Sinitsyn
- I. V. Sergeev
- V. I. Sinitsyn
- E. R. Korepanov
- V. V. Belousov
- V. S. Shorgin
Abstract
Algorithms for synthesis of discrete conditionally optimal (Pugachev) filters (PF) for normal processing in continuous and discrete linear and nonlinear hereditary stochastic systems (HStS) with Wiener and Poisson noises are considered. Introduction is devoted to the survey of analysis and modeling problems in HStS. It is stated that for real time processing, problems in informatics and control PF are effective in computer realization. The theorems for HStS reduction to differential StS and discrete StS are presented. Also, the theorems for discrete PF synthesis for normal processing in linear and nonlinear HStS are given. The HStS test shock examples for software tools "IDStS-Filtering" are represented.[+] References (21)
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[+] About this article
Title
SOFTWARE FOR SYNTESIS OF DISCRETE PUGACHEV FILTERS FOR NORMAL PROCESSES IN HEREDITARY STOCHASTIC SYSTEMSJournal
Systems and Means of InformaticsVolume 25, Issue 2, pp 20-59
Cover Date
2015-01-30DOI
10.14357/08696527150202Print ISSN
0869-6527Publisher
Institute of Informatics Problems, Russian Academy of SciencesAdditional Links
Key words
differential stochastic system (DStS); linear Kalman filter (KF): linear Pugachev filter (PF); software tools "IDStS-Filtering;" method of normal approximation (MNA); statistical linearizationmethod (SLM); normal stochastic process; shock (impulse) noise; hereditary (integrodifferential) stochastic system (HStS); MATLABAuthors
I.N. Sinitsyn
, I. V. Sergeev,
V. I. Sinitsyn, E. R. Korepanov,
V. V. Belousov, and V. S. Shorgin
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science
and Control", Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation