Linear state estimators for non-linear stochastic systems with noisy non-linear observations
- 1 December 1988
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 48 (6) , 2465-2475
- https://doi.org/10.1080/00207178808906341
Abstract
The design of linear filters is considered for reconstructing the state of a class of discrete-time non-linear stochastic systems using noise-corrupted measurements. It is shown that for systems with mean-square stable dynamics, it is always possible to guarantee stable estimation schemes. This result is used to prove that a mean–square optimal one-step predictor has stable error dynamics and also to generate other stable predictors.Keywords
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