Date of Award
Fall 10-1972
Document Type
Thesis
Degree Name
Master of Science in Mathematics
Department
Mathematics
Abstract
The problem of linear dynamic estimation, its solution as developed by Kalman and Bucy, and interpretations, properties and illustrations of that solution are discussed. The central problem considered is the estimation of the system state vector X, describing a linear dynamic system governed by
dx/dt = F(t)X(t) + G(t)U(t)
Y(t) = H(t)X(t) + V(t)
for observations of Y (system output), where V is a random observation-corrupting process, and U is a random system driving process.
An extension of the Kalman-Bucy filter to estimation in the absence of priori knowledge of the random process U and V is developed and illustrated.
Recommended Citation
Schindel, William Douglas, "Linear Estimation: The Kalman-Bucy Filter" (1972). Graduate Theses - Mathematics. 1.
https://scholar.rose-hulman.edu/math_grad_theses/1