Accession Number:

ADA050272

Title:

Multistage Estimation of Dynamical and Colored Noise States in Continuous-Time Linear Systems.

Descriptive Note:

Interim rept.,

Corporate Author:

UNIVERSITY OF SOUTHERN CALIFORNIA LOS ANGELES DEPT OF ELECTRICAL ENGINEERING

Personal Author(s):

Report Date:

1977-01-01

Pagination or Media Count:

24.0

Abstract:

This paper extends Friedlands bias estimation technique to the problem of estimating dynamical states and colored noise states. An exact multistage decomposition is derived not only for the state estimation equations, but also for the associated error covariance equations. Additionally, a second-order suboptimal multistage estimator is derived using a perturbation technique. Whereas a high-order matrix Riccati equation must be solved when the exact results are used, a matrix Riccati equation, of the dimension of the colored noise states, must be solved when the suboptimal results are used.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE