Title :
Multiplictty and martingale approach to infinite dimensional estimation
Author_Institution :
University of Houston, Houston, Texas
Abstract :
New results in infinite dimensional state estimation theory are developed here by exploiting two fundamental properties of stochastic processes: the multiplicity and representation of the observation process, and the wide-sense Martingale property in the signal process. The optimal estimate is characterized for the general case when an observation is in an arbitrary finite dimensional form with applications in the special case of additive noise. By considering the signal process as a simple linear transformation of a wide-sense Martingale the new filtering and prediction formulas are obtained.
Keywords :
Kalman filters; Markov processes; Recursive estimation; Signal processing; Stochastic processes; Systems engineering and theory; Technological innovation; Tellurium; Vectors; White noise;
Conference_Titel :
Decision and Control including the 16th Symposium on Adaptive Processes and A Special Symposium on Fuzzy Set Theory and Applications, 1977 IEEE Conference on
Conference_Location :
New Orleans, LA, USA
DOI :
10.1109/CDC.1977.271613
