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Optimal quadratic filtering of linear discrete-time non-Gaussian systems

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3 Author(s)
De Santis, A. ; Dipartimento di Inf. e Sistemistica, Rome Univ., Italy ; Germani, A. ; Raimondi, M.

In this work, the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises is dealt with. By following a geometric approach, an optimal recursive second-order polynomial estimate is proposed, which actually improves the widely used optimal linear one

Published in:

Automatic Control, IEEE Transactions on  (Volume:40 ,  Issue: 7 )