Optimal Filters for Nilpotent Associate-Algebraic Bilinear Systems.

Abstract

We consider a bilinear signal process driven by a, Gauss-Markov process which is observed in additive, white, gaussian noise. An exact stochastic differential equation for the least squares filter is derived when the signal process satisfies a nilpotency condition. It is shown that the filter is also bilinear and moreover that it satisfies an analogous nilpotency condition. Finally, an example is presented and ways of reducing filter dimensionality discussed. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1978
Accession Number
ADA062772

Entities

People

  • James T. Lo
  • Shirish D. Chikte

Organizations

  • University of Maryland, Baltimore County

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Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Delta Functions
  • Differential Equations
  • Equations
  • Filters
  • Gaussian Noise
  • Inertial Navigation
  • Markov Processes
  • Maryland
  • Mathematics
  • Navigation
  • New York
  • Noise
  • Nonlinear Systems
  • Observation
  • Satellite Attitude Control
  • Stochastic Processes

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.