Title :
A new nonlinear filtering formula non-Gaussian discrete time measurements
Author_Institution :
Raytheon Company, Wayland, MA
Abstract :
An exact formula for computing the conditional mean of a random variable is derived for discrete time observations with non-Gaussian measurement noise. This formula is analogous to the well-known result of Fujisaki-Kallianpur-Kunita for continuous time observations, and it is a generalization of the discrete time formula recently derived by Takeuchi and Akashi. The derivation of the new formula is extremely elementary, and it is based on the judicious choice of a certain homotopy function.
Keywords :
Filtering; Gaussian noise; Noise measurement; Time measurement;
Conference_Titel :
Decision and Control, 1986 25th IEEE Conference on
Conference_Location :
Athens, Greece
DOI :
10.1109/CDC.1986.267532