Accession Number : AD0688108

Title :   FORMAL ALGORITHMS FOR CONTINUOUS-TIME NONLINEAR FILTERING AND SMOOTHING,

Corporate Author : BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH INFORMATION SCIENCES LAB

Personal Author(s) : Meditch,J. S.

Report Date : APR 1969

Pagination or Media Count : 18

Abstract : Kalman's formal limiting procedure is applied to some recent results in sequential discrete-time nonlinear filtering and smoothing to obtain the corresponding estimation algorithms for continuous-time nonlinear dynamic systems. The resulting filtering algorithm is found to agree with the well-known Detchmendy-Sridhar filter which was obtained via another method. The present smoothing algorithm is a new result. It is argued that the combined filter-smoothing results here lead to an estimation algorithm which is second-order in both system dynamics and measurement function nonlinearity. (Author)

Descriptors :   (*CONTROL SYSTEMS, INFORMATION THEORY), (*INFORMATION THEORY, ALGORITHMS), NONLINEAR DIFFERENTIAL EQUATIONS, NONLINEAR SYSTEMS, WHITE NOISE, ELECTRIC FILTERS

Subject Categories : Theoretical Mathematics
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE