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math.OC2020
Kalman-Bucy filtering and minimum mean square estimator under uncertainty
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun +1
In this paper, we study a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the a…
math.OC2019
A robust Kalman-Bucy filtering problem
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun
A generalized Kalman-Bucy model under model uncertainty and a corresponding robust problem are studied in this paper. We find that this robust problem is equivalent to an estimate…