DocumentCode :
3076443
Title :
A new nonlinear filtering formula non-Gaussian discrete time measurements
Author :
Daum, F.E.
Author_Institution :
Raytheon Company, Wayland, MA
fYear :
1986
fDate :
10-12 Dec. 1986
Firstpage :
1030
Lastpage :
1031
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;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control, 1986 25th IEEE Conference on
Conference_Location :
Athens, Greece
Type :
conf
DOI :
10.1109/CDC.1986.267532
Filename :
4048921
Link To Document :
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