Estimator Performance for a Class of Nonlinear Estimation Problems.
TEXAS UNIV AT AUSTIN DEPT OF ELECTRICAL ENGINEERING
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The state estimation problem for a certain class of nonlinear stochastic systems with white Gaussian plant and observation noise is considered. The optimal minimum variance estimators for these systems are recursive and finite dimensional. A particular nonlinear system which contains a polynomial nonlinearity is presented. Both optimal and suboptimal estimators and an estimation lower bound for such a system are derived. The performance of the optimal and suboptimal estimators and the lower bound are compared both analytically and by computer simulation. Author
- Statistics and Probability