Optimal State-Vector Estimation for Non-Gaussian Initial State-Vector,
TEXAS UNIV AUSTIN DEPT OF ELECTRICAL ENGINEERING
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The optimal, in the mean-square error sense, estimate of state-vector of a linear system excited by zero-mean white Gaussian noise with non-Gaussian initial state-vector is obtained. Both the optimal estimate and the corresponding error covariance matrix are given. It is shown that the optimal estimator consists of two parts a linear estimator which is obtained from Kalman filter and a nonlinear estimator. In addition the a-posteriori probability, Px sub klambda sub k is also given.
- Statistics and Probability