Title :
A differential geometric approach to nonlinear filtering: the projection filter
Author :
Brigo, Damiano ; Hanzon, Bernard ; Le Gland, Francois
Author_Institution :
Dept. of Econ., Free Univ., Amsterdam, Netherlands
Abstract :
We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which allows one to simplify the projection filter equation, and to define an a posteriori measure of the performance of the projection filter
Keywords :
approximation theory; differential equations; differential geometry; discrete time filters; filtering theory; nonlinear filters; probability; statistical analysis; approximation; differential geometry; discrete time syatems; finite dimensional filters; nonlinear filtering; probability; projection filter; statistics; stochastic differential equations; Differential equations; Econometrics; Filtering; Glands; Kalman filters; Nonlinear equations; Nonlinear filters; Partial differential equations; State estimation; Statistics;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.479232
