Nonlinear filtering for discrete-time linear systems with non-Gaussian initial data

The optimal minimum mean-square error filtering problem is discussed for a linear system with non-Gaussian initial distribution. An input/output realization is derived using an absolutely continuous change of probability measure. A representation result is presented which facilitates the derivation...

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Bibliographic Details
Published in:IEEE transactions on automatic control 1989-07, Vol.34 (7), p.781-783
Main Authors: de Benito, C.D., Loparo, K.A.
Format: Article
Language:English
Subjects:
Applied sciences
Automation
Computer science
control theory
systems
Control theory. Systems
Exact sciences and technology
Filtering
Linear systems
Modelling and identification
Noise measurement
Nonlinear filters
Q measurement
Random processes
Random variables
Systems engineering and theory
White noise
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Description
Summary:The optimal minimum mean-square error filtering problem is discussed for a linear system with non-Gaussian initial distribution. An input/output realization is derived using an absolutely continuous change of probability measure. A representation result is presented which facilitates the derivation of optimal filter realization.< >
ISSN:0018-9286
1558-2523
DOI:10.1109/9.29414