Abstract
This paper investigates the stochastic uncertain system with correlated noise. The stochastic uncertainties are caused by the multiplicative noises existing in the state function. Moreover, the multiplicative noises and the measurement noises are synchronously cross-correlated. A novel framework of Gaussian filter (GF) is proposed for this kind of stochastic uncertain systems. As the probability of multiplicative noises conditioned on measurement noises contains more correlation information than its original probability, the conditional Gaussian distributions is utilized to improve the GF accuracy. What is more, the spherical-radial cubature rule is exploited to calculate the Gaussian quadrature. The cubature Kalman filter with multiplicative correlated noises (CKF-MCN) is designed. The numeral example shows the accuracy and effectiveness of the CKF-MCN.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
