Optimal Filters for Nilpotent Associate-Algebraic Bilinear Systems.

摘要

A bilinear signal process is considered, 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. An example is presented, and ways of reducing filter dimensionality are discussed. (Author)