Linear minimax filtering of scalar random process at presence of fuzzy disturbance with limited variance in net component of observation

Abstract

In this paper the author investigates the problem of scalar minimax filtering in the presence of an unknown fuzzy disturbance in a stationary process with a known spectral density. It is known only moment restrictions about spectral density of the disturbance. The disturbance satisfies the restrictions with specified subset of possible concentration of the positive measure frequency axis (possibly infinite). Interference measurement is assumed to be given as a white noise of known intensity. Illustrative examples are given.

Keywords

minimax / filter / spectral density / interference / white noise / linear / moment inequalities / frequency / random / fuzzy / fuzzy random process

RIGHTS & PERMISSIONS

Sidorov I.G.