Accession Number : AD0430058


Title :   INVESTIGATION OF FILTER FUNCTIONS.


Descriptive Note : Final technical rept.,


Corporate Author : MARTIN CO BALTIMORE MD RESEARCH INST FOR ADVANCED STUDIES


Personal Author(s) : Kalman,R E


Report Date : Jan 1964


Pagination or Media Count : 65


Abstract : Results are presented of the first phase of a basic research program in adaptive filtering. The construction of optimal filters in the Wiener-Kalman-Bucy sense requires knowledge of the statistics (second-order properties) of the underlying random processes; the filter is called adaptive when such prior knowledge is not assumed but is obtained in real time by analysis of the observed random signals. The theoretical considerations of this work are based on the following Variational Principle of Adaptation. One examines simultaneously a large number of filters each one of which is optimal for certain types of random signals. At each moment of time the output is taken from that filter which gives the smallest real-time error up to time t. In this way the unknown random process that generates the observed signal is identified indirectly. Experimental (digital computer) results are presented which confirm the logical correctness of the Principle. (Author)


Descriptors :   *ADAPTIVE CONTROL SYSTEMS , ELECTROMAGNETIC WAVE FILTERS , FUNCTIONS(MATHEMATICS) , POLYNOMIALS , CURVE FITTING , LEAST SQUARES METHOD , COMPUTER LOGIC , FEEDBACK , OPTIMIZATION , STOCHASTIC PROCESSES , INFORMATION THEORY , PROBABILITY , MATHEMATICAL ANALYSIS


Distribution Statement : APPROVED FOR PUBLIC RELEASE