Cauchy problem for least-squares estimation with semidegenerate covariance

被引：0
|
作者：
Natsuyama, H [1 ]
Ueno, S [1 ]
机构：
[1] Kyoto Sch Comp Sci, Sakyo Ku, Kyoto 6068225, Japan
来源：
APPLIED MATHEMATICS LETTERS | 1999年 / 12卷 / 04期
关键词：
detection; estimation theory; invariant imbedding; integral equations;
D O I：
10.1016/S0893-9659(99)00041-5
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A linear least-squares filtering problem with a semidegenerate integral equation is considered. An invariant imbedding treatment reduces this problem to a system of ordinary differential equations with initial conditions. The optimal estimate may be evaluated in a real-time sequential manner through a simple algebraic formula. (C) 1999 Elsevier Science Ltd. All rights reserved.
引用
收藏
页码：95 / 99
页数：5
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