NLNG Problem Statement

Similar to LG Problem Statement we define a similar discrete-time, time-invariant model. Except this time it’s non-linear and non-Gaussian. This is known as a NLNG Model.

It can be characterized as:

$$\text{motion model:}{\mathbf{x}}_k=\mathbf{f}({\mathbf{x}}_{k-1},{\mathbf{v}}_k,{\mathbf{w}}_k),k=1\dots K$$ $$\text{observation model:}{\mathbf{y}}_k=\mathbf{g}({\mathbf{x}}_k,{\mathbf{n}}_k),k=0\dots K$$

Where $\mathbf{f}(\cdot )$ is a non-linear motion model and $\mathbf{g}(\cdot )$ is a non-linear observation model.

This system is a Markovian.