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On the optimal state estimation of a class of discrete-time nonlinear systems. (English) Zbl 0633.93064

The optimal linear estimator is given for a class of discrete-time nonlinear stochastic systems with nonlinear noisy measurement equations. First, the one-step predictor is considered and then the limiting behavior of the estimator is examined.

MSC:

93E10 Estimation and detection in stochastic control theory
93C10 Nonlinear systems in control theory
93C55 Discrete-time control/observation systems
62M20 Inference from stochastic processes and prediction
93E12 Identification in stochastic control theory
93E15 Stochastic stability in control theory
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