In this work, the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises is dealt with. By following a geometric approach, an optimal recursive second-order polynomial estimate is proposed, which actually improves the widely used optimal linear one.
OPTIMAL QUADRATIC FILTERING OF LINEAR DISCRETE-TIME NON-GAUSSIAN SYSTEMS
GERMANI, Alfredo;
1995-01-01
Abstract
In this work, the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises is dealt with. By following a geometric approach, an optimal recursive second-order polynomial estimate is proposed, which actually improves the widely used optimal linear one.File in questo prodotto:
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