Linear optimal filtering at not white noises

Navigation systems


Savinov G. F.

Moscow Aviation Institute (National Research University), 4, Volokolamskoe shosse, Moscow, А-80, GSP-3, 125993, Russia


This activity presents the algorithm of an optimal filter for a case, when the input effects and the noises are random Gaussian processes, which are different from white noise. As against known algorithms no nonlinear vector-matrix differential equations for the errors of filter correlation matrix definition are decided. The presented algorithm does not contain traditionally used shaping filters also. All specified above reduces a volume of computing operations at its use in hardware systems.

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