Concerning optimal filtering theory of linear distributed-parameter systems
- 1 January 1968
- journal article
- Published by Institution of Engineering and Technology (IET) in Proceedings of the Institution of Electrical Engineers
- Vol. 115 (11) , 1737-1742
- https://doi.org/10.1049/piee.1968.0304
Abstract
The optimal filter of Kalman is derived for a general class of linear distributed-parameter systems with Gaussian disturbances and measurement noise. The concept of characteristic functional, which fully describes a distributed infinite-dimensional random variable, is used. The input disturbance and the measurement noise are assumed to be white in time, but they are allowed to have any correlation in space. A numerical example illustrates the theory.Keywords
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