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A nonlinear differential equation of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this "variance equation" completely specifies the optimal filter for either finite or infinite smoothing intervals and stationary or nonstationary statistics. The variance equation is closely related to the Hamiltonian(More)
  • R. Bucy
  • 1977
Monte Carlo analysis of the combined phase amplitude demodulator problem will be discussed. The effect of machine architectural differences on the nonlinear filtering algorithms will be emphasized. Two machines will be considered; the CDC Star 100 and the Floating Point System's AP120B, which are respectively pipeline and multiprocessor array, in the(More)