O pewnym niekonwencjonalnym problemie filtracji stanu

In the paper nonconventional equations of the state filtration are derived. They are useful for some control system structure. It is assumed that a system considered is described by a linear output equation and linear state equation with the control being a random variable generated by a given decision rule. Moreover, it is assumed that random processes involved are Gaussian. Similarities and dissimilarities between the derived filtration equations and those of the Kalman filter are shown. Some properties of a solution obtained are illustrated by a numerical example.