An Engineer's Guide to Building Nonlinear Filters. Volume 1
Abstract
A comprehensive treatment of numerical approaches to the solution of Bayes Law has been included, describing numerical methods, computational algorithms, two example problems, and extensive numerical results. Bayes Law is an integral equation describing the evolution of the conditional probability distribution, describing the state of a Markov process, conditioned on the past noisy observations. The Bayes Law is, in fact, the general solution to the discrete nonlinear estimation problem. This research represents one of the first successful attempts to approximate the conditional probability densities numerically and evaluate the Bayes integral by quadratures. The methods of density representation studied most thoroughly include orthogonal polynomials, point-masses, gaussian sums, and Fourier series.
Document Details
- Document Type
- Technical Report
- Publication Date
- May 01, 1972
- Accession Number
- AD0746921
Entities
People
- Calvin Hecht
- Kenneth D. Senne
- Richard S. Bucy
Organizations
- Air Force Research Laboratory