Estimation and control for linear, partially observable systems with non-gaussian initial distribution
نویسندگان
چکیده
منابع مشابه
Estimation and Control for Linear, Partially Observable Systems with Non-gaussian Initial Distribution*
The nonlinear filtering problem of estimating the state of a linear stochastic system from noisy observations is solved for a broad class of probability distributions of the initial state. It is shown that the conditional density of the present state, given the past observations, is a mixture of Gaussian distributions, and is parametrically determined by two sets of sufficient statistics which ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1983
ISSN: 0304-4149
DOI: 10.1016/0304-4149(83)90002-9