Accession Number:

AD0722081

Title:

Optimal State-Vector Estimation for Non-Gaussian Initial State-Vector,

Descriptive Note:

Corporate Author:

TEXAS UNIV AUSTIN DEPT OF ELECTRICAL ENGINEERING

Report Date:

1971-04-01

Pagination or Media Count:

7.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE