Nonlinear Filters. Simon Haykin

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Nonlinear Filters - Simon  Haykin


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t right-parenthesis right-parenthesis Over partial-differential bold x EndFraction EndAbsoluteValue Subscript bold x left-parenthesis t 0 right-parenthesis Baseline Subscript bold x left-parenthesis t 0 right-parenthesis Baseline left-parenthesis bold x left-parenthesis t right-parenthesis minus bold x left-parenthesis t 0 right-parenthesis right-parenthesis comma"/>

      (2.75)bold y left-parenthesis t right-parenthesis almost-equals bold g left-parenthesis bold x left-parenthesis t right-parenthesis comma bold u left-parenthesis t right-parenthesis right-parenthesis StartAbsoluteValue plus StartFraction partial-differential bold g left-parenthesis bold x left-parenthesis t right-parenthesis comma bold u left-parenthesis t right-parenthesis right-parenthesis Over partial-differential bold x EndFraction EndAbsoluteValue Subscript bold x left-parenthesis t 0 right-parenthesis Baseline Subscript bold x left-parenthesis t 0 right-parenthesis Baseline left-parenthesis bold x left-parenthesis t right-parenthesis minus bold x left-parenthesis t 0 right-parenthesis right-parenthesis period

      2.6.2 Discrete‐Time Nonlinear Systems

      The state‐space model of a discrete‐time nonlinear system is represented by the following system of nonlinear equations:

      where bold f colon double-struck upper R Superscript n Super Subscript x Superscript Baseline times double-struck upper R Superscript n Super Subscript u Superscript Baseline right-arrow double-struck upper R Superscript n Super Subscript x Superscript is the system function, and bold g colon double-struck upper R Superscript n Super Subscript x Superscript Baseline times double-struck upper R Superscript n Super Subscript u Superscript Baseline right-arrow double-struck upper R Superscript n Super Subscript y Superscript is the measurement function. Similar to the discrete‐time linear case, starting from the initial cycle, system's output vectors at successive cycles till cycle k equals n minus 1 can be written based on the initial state bold x 0 and input vectors bold u Subscript 0 colon n minus 1 as follows:

      Functional powers of the system function bold f can be used to simplify the notation in the aforementioned equations. Functional powers are obtained by repeated composition of a function with itself:

      (2.81)bold f Superscript n Baseline equals bold f ring bold f Superscript n minus 1 Baseline equals bold f Superscript n minus 1 Baseline ring bold f comma n element-of double-struck upper N comma