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

本文讨论非线性随机离散系统的状态估值问题,推得系统的状态对于观测的条件分布密度函数。当状态过程具有马氏性时,还分别给出滤波、预测以及内插的条件分布密度函数的递推格式。

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.