Approximate Recursive Bayesian Estimation of State Space Model with Uniform Noise

摘要

This paper proposes a recursive algorithm for the state estimation of a linear stochastic state space model. A model with discrete-time inputs, outputs and states is considered. The model matrices are supposed to be known. A noise of the involved model is described by a uniform distribution. The states are estimated using Bayesian approach. Without using an approximation, the complexity of the posterior probability density function (pdf) increases with time. The paper proposes an approximation of this complex pdf so that a feasible support of the posterior pdf is kept during the estimation. The state estimation consists of two stages, namely the time and data update including the mentioned approximation. The behaviour of the proposed algorithm is illustrated by simulations and compared with other methods.