Observer design for discrete and continuous non-linear stochastic systems
Edwin Engin Yaz, A. Azemi · International Journal of Systems Science · 1993
An observer design methodology that is applicable to a general class of non-linear stochastic system and measurement models is given. It is proved that, under the conditions given, discrete- and continuous-time state estimation is possible with guaranteed exponential rate of convergence. The superior performance of the observer is illustrated with two examples.