非线性离散系统状态估值的条件分布密度函数

Conditional Distribution Density Functions for the State Estimation of Nonlinear Discrete-time Systems

In this paper, the state estimation problem of nonlinear discrete - time stochastic systems is discussed. We obtain explicit formulae for the conditional distribution density functions of the state vectors of the dynamical systems with respect to the observation data. When the state process has Markov property, the recursive formulae for the conditional distribution density functions of filtering, prediction. and interpolation, are given respectively.