D'ANGELO , Massimiliano

This paper studies the problem of recursive state estimation of stochastic linear systems with nonlinear measurements. The main idea is to rewrite the measurement map in a linear form by considering, as system output, a vector of "virtual" measurements. The result is a linear system with a non-Gaussian and nonstationary output noise. State...

This paper deals with the optimal filtering and optimal output-feedback control of discrete-time, linear time-varying non-Gaussian systems. In the hypothesis that the time-varying and non-Gaussian distributions of the state and measurement noises have bounded and known moments up to a given order, this work extends previous results about...