ADAPTIVE FILTERING IN THE PRESENCE OF PERTURBATIONS AND MEASUREMENT NOISE OF UNKNOWN INTENSITY

A technique is proposed for the processing of navigation measurements, based on Kalman-Bucy filtering with adaptation of the unknown ratio o f the intensities of the target perturbation and measurement noise. Th is ratio is usually small and must be estimated with high accuracy. Th e global convergence of the proposed stochastic approximation algorith m in closed-loop control is proved. An example is given.