A UNIFIED APPROACH TO NONLINEAR ESTIMATION
AEROSPACE CORP EL SEGUNDO CA ENGINEERING SCIENCE OPERATIONS
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A unified approach to the dynamic nonlinear estimation problem is presented. General algorithms for filtering, smoothing, and prediction for both continuous and discrete nonlinear systems are derived. The continuous problem is treated first by a direct approach which yields an exact solution. A similar approach is then applied to the more complex discrete estimation problem. The discussion provided points out some subtle, but important features of the main results which should be useful when applying the results to practical problems. To provide insight, motivation and background for the technique used in obtaining the solution of the general nonlinear problem, the special case of linear estimation is discussed in the first two appendices. In a third appendix it is shown that in the continuous measurement limit, the derived discrete and continuous nonlinear filtering algorithms are identical.
- Statistics and Probability