Accession Number:

AD0434872

Title:

ON THE PARTIAL DIFFERENTIAL EQUATION FOR THE CONDITIONAL PROBABILITY DISTRIBUTION FOR NONLINEAR DYNAMIC SYSTEMS WITH NOISY MEASUREMENTS,

Descriptive Note:

Corporate Author:

HARVARD UNIV CAMBRIDGE MASS CRUFT LAB

Personal Author(s):

Report Date:

1963-12-02

Pagination or Media Count:

20.0

Abstract:

The partial integro-differential equation is derived for the conditional probability density distribution of the output of a nonlinear system excited by nonadditive white Gaussian noise, with nonlinear measurements corrupted by white Gaussian noise. This equation reduces to the well-known Kolmogoroff forward equation when there are no measurements. The usefulness of the differential equation is demonstrated by deriving from it, for linear systems, the Wiener-Kalman filter. Author

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Distribution Statement:

APPROVED FOR PUBLIC RELEASE