Optimal state-vector estimation for non-Gaussian initial state-vector
- 1 April 1971
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 16 (2) , 197-198
- https://doi.org/10.1109/tac.1971.1099695
Abstract
The optimal estimate, in the mean-square-error sense, of state-vector of a linear system excited by zero-mean white Gaussian noise with non-Gaussian initial state-vector is obtained. Both the optimal estimate and the corresponding error covariance matrix are given. It is shown that the optimal estimator consists of two parts: a linear estimator that is obtained from a Kalman filter and a nonlinear estimator. In addition, the a posteriori probabilityp(x_{k}/\lambda_{k})is also given.Keywords
This publication has 2 references indexed in Scilit:
- Performance measure for adaptive Kalman estimatorsIEEE Transactions on Automatic Control, 1970
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960