Publications of Francesco Carravetta

This page shows all publications that appeared in the IASI annual research reports. Authors currently affiliated with the Institute are always listed with the full name.

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IASI Research Report n. 394  (Previous    Next)


Francesco Carravetta, Alfredo Germani, Raimondi M.

Filtering of conditionally linear discrete time non-Gaussian systems

ABSTRACT
In this work we present some new results in filtering theory, for a nice class of systems (the so called conditionally linear systems, CLS) which appear in some approximation schemes of nonlinear systems (i.e. extended Kalman filter). We prove that, given a discrete-time CLS and considering its corresponding time varying linear system, it results that their optimal (in a given class) estimators are the same. As a consequence, we are able to find the class of estimators for which the Kalman filter, applied to a non-Gaussian CLS, yield the optimal estimate.
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