The idea of using estimation algebra to construct finite-dimensional nonlinear filters was first proposed by Brockett and Mitter independently. It has proven to be an invaluable tool in the study of nonlinear filtering problem. In 1983, Brockett proposed to classify all finite-dimensional estimation
Finite-dimensional filters with nonlinear drift, VI: Linear structure of Ω
✍ Scribed by Jie Chen; Stephen S. -T. Yau
- Book ID
- 105120135
- Publisher
- Springer
- Year
- 1996
- Tongue
- English
- Weight
- 714 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0932-4194
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Ever since the technique of the Kalman Bucy filter was popularized, there has been an intense interest in finding new classes of finite-dimensional recursive filters. In the late 1970s the concept of the estimation algebra of a filtering system was introduced. Brockett, Clark, and Mitter proposed to
A close relationship between the dimension of the estimation algebra and the existence of a finite-dimensional filter of a particular type has been established by several researchers. However, a genera1 procedure for constructing the filter realization has not been developed. In this paper a realiz