Title :
Linear Filters for Linear Systems with Multiplicative Noise and Nonlinear Filters for Linear Systems with Non-Gaussian Additive Noise
Author_Institution :
School of Electrical Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332, Phone: 894-2949
Abstract :
Exact optimal least squares linear filters with precomputable gains are derived for the class of discrete linear systems with state update and output corrupted by white noise multiplying a linear function in the state. The derived method is then applied to obtain suboptimal nonlinear filters for linear systems with non-Gaussian additive noise.
Keywords :
Additive noise; Degradation; Equations; Filtering; Gaussian noise; Least squares approximation; Least squares methods; Linear systems; Nonlinear filters; White noise;
Conference_Titel :
American Control Conference, 1985
Conference_Location :
Boston, MA, USA
