n-covariance matrix

Optimal filtration of matrix gaussian random processes in planes lateral motion problem

 In practice, observation problem is more complex because of random influences (noises): wind effects plane course, sensor errors distort object position view. In order to reduce noise filters are used. Proposed to carry out a simultaneous filtering of identical objects motion by defining problem in matrix variables. To achieve phisical realizability controlled matrix filter was proposed. Statements that allow to find the optimal solution was proved.