Nonlinear Filters. Simon Haykin

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Nonlinear Filters - Simon  Haykin


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alt="bold z Superscript o"/>, and unobservable modes, bold z Superscript o overbar:

      (2.13)bold z left-parenthesis t right-parenthesis equals StartBinomialOrMatrix bold z Superscript o Baseline left-parenthesis t right-parenthesis Choose bold z Superscript o overbar Baseline left-parenthesis t right-parenthesis EndBinomialOrMatrix period

      or equivalently as:

      2.4.2 Discrete‐Time LTI Systems

      The state‐space model of a discrete‐time LTI system is represented by the following algebraic and difference equations:

      where bold x element-of double-struck upper R Superscript n Super Subscript x, bold u element-of double-struck upper R Superscript n Super Subscript u, and bold y element-of double-struck upper R Superscript n Super Subscript y are the state, the input, and the output vectors, respectively, and bold upper A element-of double-struck upper R Superscript n Super Subscript x Superscript times n Super Subscript x, bold upper C element-of double-struck upper R Superscript n Super Subscript y Superscript times n Super Subscript x, bold upper B element-of double-struck upper R Superscript n Super Subscript x Superscript times n Super Subscript u, and bold upper D element-of double-struck upper R Superscript n Super Subscript y Superscript times n Super Subscript u are the system matrices. Starting from the initial cycle, the system output vector at successive cycles up to cycle k equals n minus 1 can be written based on the initial state vector bold x 0 and input vectors bold u Subscript k colon k plus n minus 1 as follows:

      (2.20)StartLayout 1st Row 1st Column bold y Subscript k 2nd Column equals bold upper C bold x Subscript k Baseline plus bold upper D bold u Subscript k Baseline comma 2nd Row 1st Column bold y Subscript k plus 1 2nd Column equals bold upper C bold upper A bold x Subscript k Baseline plus bold upper C bold upper B bold u Subscript k Baseline plus bold upper D bold u Subscript k plus 1 Baseline comma 3rd Row 1st Column bold y Subscript k plus 2 2nd Column equals bold upper C bold upper A squared bold x Subscript k Baseline plus bold upper C bold upper A bold upper B bold u Subscript k Baseline plus bold upper C bold upper B bold u Subscript k plus 1 Baseline plus bold upper D bold u Subscript k plus 2 Baseline comma 4th Row 1st Column vertical-ellipsis 2nd Column equals vertical-ellipsis 5th Row 1st Column bold y Subscript k plus n minus 1 2nd Column equals bold upper C bold upper A Superscript n minus 1 Baseline bold x Subscript k Baseline plus bold upper C bold upper A Superscript n minus 2 Baseline bold upper B bold u Subscript k Baseline plus midline-horizontal-ellipsis plus bold upper C bold upper B bold u Subscript k plus n minus 2 Baseline plus bold upper D bold u Subscript k plus n minus 1 Baseline period EndLayout

      The aforementioned equations can be rewritten in the following


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