Linear state estimators for non-linear stochastic systems with noisy non-linear observations |
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Authors: | ENGIN YAZ |
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Affiliation: | Electrical Engineering Department , University of Arkansas , Fayetteville, AR, 72701, U.S.A. |
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Abstract: | The design of linear filters is considered for reconstructing the state of a class of discrete-time non-linear stochastic systems using noise-corrupted measurements. It is shown that for systems with mean-square stable dynamics, it is always possible to guarantee stable estimation schemes. This result is used to prove that a mean–square optimal one-step predictor has stable error dynamics and also to generate other stable predictors. |
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