ON STOCHASTIC APPROXIMATION METHOD AND OPTIMAL FILTERING THEORY,

Abstract

This paper establishes some connections among the maximum likelihood estimate, the optimal filtering and the stochastic approximation solutions to the following well-known problem: Consider the vector-matrix equations Ax + v sub k = b sub k = 1, 2, ... where A is a given r x n matrix; x is an unknown n-vector; v sub k is a random r-vector with E(v sub k) = 0 and E(v sub k v sub j) = I delta(k - j) b sub k is a r-vector of observation. It is desired to determine an estimate x for the unknown parameters x which is optimal in some sense.

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1962
Accession Number
AD0605739

Entities

People

  • Yu Chi Ho

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Acquisition
  • Equations
  • Filtration
  • Observation

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Analytical Mechanics
  • Linear Algebra