A.E. Bashirov
Invariant control and filtering results for wide band noises

The most popular noise model employed in studying stochastic systems is a white noise model. At the same time, the real noises are rarely white. They are rarely colored as well. Mostly, they are wide band.  This pushes to develop mathematical methods of studying stochastic systems corrupted by wide band noises. Engineers detect wide band noises by their autocovariance functions, which do not allow to model them uniquely. Therefore, it becomes important to develop mathematical methods which are independent of wide band noises having the same autocovariance function. Such results are called invariant results. In this paper, we review some invariant estimation and control results for wide band noise driven stochastic systems.

Keywords: White noise, Wide band noise, Filtering, Stochastic control
Institute of Control Systems of the Ministry of Science and Education of the Republic of Azerbaijan
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