전기의세계
- Volume 24 Issue 5
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- Pages.103-106
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- 1975
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- 1598-4613(pISSN)
An application of observer to the linear stochastic contimuous systems
관측자의 선형확률연속시스템에의 적용
Abstract
This Paper deals with an applicatoin of Luenberger Observer to the Linear Stochastic Systems. The basic technique is the use of a matrix version of the Maximum Principle of Pontryagin coupled with the use of gradient matrices to derive the gain matix for minimum error covariance. The optimal observer which is derived turns out to be identical to the well-known Kalman-Bucy Filter.
Keywords