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Technical University of Crete
Technical University of Crete
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| URI: | http://purl.tuc.gr/dl/dias/46DD936D-769F-413B-AC82-20892935982E | ||
| Year | 2015 | ||
| Type of Item | Peer-Reviewed Journal Publication | ||
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| Bibliographic Citation | V. 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 : 10.1109/9.186326 https://doi.org/ 10.1109/9.186326 | ||
| Appears in Collections |
Matrix 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 error
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