On the Estimation of State Variables and Parameters for Noisy Dynamic SystemsReceived November 7, 1963. The work described in this paper is based on a dissertation submitted in partial fulfillment of the requirements for the Sc.D. degree in the Department of Electrical Engineering, Massachusetts Institute of Technology, Cambridge

The problem of estimating state variables and parameters is considered for discrete-time systems in the presence of random disturbances and measurement noise. The solution of the linear problem is given and an approximation technique is developed for nonlinear systems. A dynamic programming formulation of the estimation problem is also developed.