• DocumentCode
    805783
  • Title

    Optimal state-vector estimation for non-Gaussian initial state-vector

  • Author

    Park, Soojin

  • Volume
    16
  • Issue
    2
  • fYear
    1971
  • fDate
    4/1/1971 12:00:00 AM
  • Firstpage
    197
  • Lastpage
    198
  • Abstract
    The optimal estimate, in the mean-square-error sense, 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 that is obtained from a Kalman filter and a nonlinear estimator. In addition, the a posteriori probability p(x_{k}/\\lambda _{k}) is also given.
  • Keywords
    Linear systems, stochastic discrete-time; State estimation; Covariance matrix; Difference equations; Gaussian noise; Kalman filters; Linear systems; Maximum likelihood detection; Random processes; State estimation; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1971.1099695
  • Filename
    1099695
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=805783