Title :
Optimal quadratic filtering of linear discrete-time non-Gaussian systems
Author :
Santis, A. De ; Germani, A. ; Raimondi, M.
Author_Institution :
Dipartimento di Inf. e Sistemistica, Rome Univ., Italy
fDate :
7/1/1995 12:00:00 AM
Abstract :
In this work, the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises is dealt with. By following a geometric approach, an optimal recursive second-order polynomial estimate is proposed, which actually improves the widely used optimal linear one
Keywords :
discrete time systems; filtering theory; linear systems; polynomials; recursive estimation; state estimation; geometric approach; linear discrete-time nonGaussian systems; optimal quadratic filtering; optimal recursive second-order polynomial estimate; state estimation; Filtering; Hilbert space; Nonlinear filters; Parameter estimation; Polynomials; Random variables; Recursive estimation; State estimation; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
