Accession Number : AD0722081
Title : Optimal State-Vector Estimation for Non-Gaussian Initial State-Vector,
Corporate Author : TEXAS UNIV AUSTIN DEPT OF ELECTRICAL ENGINEERING
Personal Author(s) : Lainiotis,D. G. ; Park,S. K. ; Krishnaiah,R.
Report Date : APR 1971
Pagination or Media Count : 7
Abstract : The optimal, in the mean-square error sense, estimate of state-vector of a linear system excited by zero-mean white Gaussian noise with non-Gaussian initial state-vector is obtained. Both the optimal estimate and the corresponding error covariance matrix are given. It is shown that the optimal estimator consists of two parts: a linear estimator which is obtained from Kalman filter and a nonlinear estimator. In addition the a-posteriori probability, P(x sub k/lambda sub k) is also given.
Descriptors : (*CONTROL SYSTEMS, MATHEMATICAL MODELS), LINEAR SYSTEMS, DIFFERENCE EQUATIONS, PROBABILITY DENSITY FUNCTIONS, MATRICES(MATHEMATICS), WHITE NOISE
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE