Title :
Discrete-time piecewise linear filtering with small observation noise
Author :
De Oliveira, Milheiro P. ; Roubaud, M.C.
Author_Institution :
Fac. de Engenharia, Porto Univ., Portugal
fDate :
12/1/1995 12:00:00 AM
Abstract :
A problem of discrete-time piecewise linear filtering with small observation noise is considered. The case in which the observation function is not one-to-one and has two intervals of linearity is studied, in particular when this function is symmetric. Under some detectability assumption, a procedure is presented to detect the intervals of linearity of the observation function. During such time intervals, one can then approximate the optimal filter by the corresponding Kalman-Bucy filter
Keywords :
Kalman filters; filtering theory; noise; signal detection; Kalman-Bucy filter; detectability; discrete-time piecewise linear filtering; observation noise; optimal filter; symmetric function; Concurrent computing; Differential equations; Filtering; Linearity; Maximum likelihood detection; Nonlinear filters; Optical computing; Partial differential equations; Piecewise linear approximation; Piecewise linear techniques;
Journal_Title :
Automatic Control, IEEE Transactions on
