A two-step bilinear filtering approximation

A new approximation technique to a certain class of non-linear filtering (signal processing) problems is considered here. The method is based on an approximation of a nonlinear, partially observable system by a bilinear model with fully observable states. The filter development proceeds from the assumption that the unobservable states are conditionally Gaussian with respect to the observation initially. The method is shown to be promising for real-time communication and sonar applications as demonstrated by computer simulations. Moreover, some of the traditional techniques evolve as special cases of this methodology.