Maximum Likelihood optimal estimator of non-autonomous nonlinear dynamic systems
Ilan Rusnak · 2015
The Joint Maximum Likelihood criterion is used to derive the optimal estimator for non-autonomous nonlinear dynamic systems. The solution is explicit and gives recursive formulas of the optimal estimator. The computation of the estimator's gains needs the solution of non-symmetric Differential Matrix Riccati Equation (DMRE). For linear systems this solution constitutes the structure of the Kalman Filter.