NMV optimal estimation for nonlinear discrete-time multi-channel systems

A nonlinear operator approach to estimation in discrete-time multivariable systems is described. It involves inferential estimation of a signal which enters a communications channel involving both nonlinearities and transport delays. The measurements are assumed to be corrupted by a colored noise signal which is correlated with the signal to be estimated. The system model also includes a communications channel involving hard or dynamic nonlinearities. The signal and noise channels are represented in a very general nonlinear operator form. The algorithm is relatively simple to derive and to implement. The optimal nonlinear estimator is derived in terms of the nonlinear operators that describe the system. The results are the dual of the nonlinear generalized minimum variance control problem that has been very successful in providing a practical simple algorithm for nonlinear processes.