Parametric Filtering: Optimal Synthesis on a Nonlinear Dynamic Variety

Parametric Filtering: Optimal Synthesis on a Nonlinear Dynamic Variety We analyze the optimal parametric filtering problem for a wide class of nonlinear stochastic systems. Much attention is paid to validation of formed models of observation and estimation since derivation of equations that determine the mean-square optimal filter directly depends on a rational choice of the models. We find conditions under which the original optimal filtering problem is equivalent to the dual optimal control problem. Synthesis of the optimal filter is accompanied by the analysis of properties of solutions of filtering equations obtained. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Problems of Information Transmission Springer Journals

Parametric Filtering: Optimal Synthesis on a Nonlinear Dynamic Variety

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Publisher
Kluwer Academic Publishers-Plenum Publishers
Copyright
Copyright © 2001 by MAIK “Nauka/Interperiodica”
Subject
Engineering; Communications Engineering, Networks; Electrical Engineering; Information Storage and Retrieval; Systems Theory, Control
ISSN
0032-9460
eISSN
1608-3253
D.O.I.
10.1023/A:1013879502480
Publisher site
See Article on Publisher Site

Abstract

We analyze the optimal parametric filtering problem for a wide class of nonlinear stochastic systems. Much attention is paid to validation of formed models of observation and estimation since derivation of equations that determine the mean-square optimal filter directly depends on a rational choice of the models. We find conditions under which the original optimal filtering problem is equivalent to the dual optimal control problem. Synthesis of the optimal filter is accompanied by the analysis of properties of solutions of filtering equations obtained.

Journal

Problems of Information TransmissionSpringer Journals

Published: Oct 9, 2004

References

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