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Unscented filtering from delayed observations with correlated noises. (English) Zbl 1179.93160

Summary: A filtering algorithm based on the unscented transformation is proposed to estimate the state of a nonlinear system from noisy measurements which can be randomly delayed by one sampling time. The state and observation noises are perturbed by correlated nonadditive noises, and the delay is modeled by independent Bernoulli random variables.

MSC:

93E11 Filtering in stochastic control theory
93E10 Estimation and detection in stochastic control theory
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References:

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