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