
Accession Number : AD0722081
Title : Optimal StateVector Estimation for NonGaussian Initial StateVector,
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 meansquare error sense, estimate of statevector of a linear system excited by zeromean white Gaussian noise with nonGaussian initial statevector 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 aposteriori 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