Least-squares state estimation of systems with state-dependent observation noise (Q1059039)
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English | Least-squares state estimation of systems with state-dependent observation noise |
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Least-squares state estimation of systems with state-dependent observation noise (English)
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1985
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The least-squares state estimation problem is considered for continuous- time systems with state-dependent observation noise. The observation is decomposed into two parts, i.e. an additive white Gaussian part and a noise-free part, and it is shown that the conditional state distribution, given the observation, is singular with respect to the a priori state distribution. A Bayes-type formula for the optimal filter and an easily applicable approximate filtering formula are obtained.
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nonlinear filtering
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least-squares state estimation
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continuous-time systems
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state-dependent observation noise
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Bayes-type formula
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optimal filter
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