Accession Number : AD0721935

Title :   Optimal Filters for Systems Containing Serially Correlated Noise,

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

Personal Author(s) : Johnson,F. C.

Report Date : MAR 1971

Pagination or Media Count : 24

Abstract : An algorithm for obtaining optimal state estimates for discrete linear systems in the presence of serially correlated noise in both the observations and system dynamics is derived. The algorithm does not require state augmentation and exhibits a natural relationship between filtering and smoothing for serially correlated systems. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), MATRICES(MATHEMATICS), STOCHASTIC PROCESSES, SET THEORY, ALGORITHMS, OPTIMIZATION, WHITE NOISE, LINEAR SYSTEMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE