Trace bounds on the covariances of continuous-time systems with multiplicative noise

1 January 1993

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 38 (1) , 138-142
https://doi.org/10.1109/9.186326

Abstract

Matrix equations such as AP+PA/sup T/+FPF/sup T/+ Omega =0 and AQ+QA/sup T/+-QVQ+FPF/sup T/+ Omega =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.

Keywords

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