DocumentCode
3072324
Title
A new nonlinear filtering formula for discrete time measurements
Author
Daum, F.E.
Author_Institution
Raytheon Company, Wayland, MA
fYear
1985
fDate
11-13 Dec. 1985
Firstpage
1957
Lastpage
1958
Abstract
An exact formula for computing the conditional mean of a random variable is derived for discrete time observations. This formula is analogous to the well-known result of Fujisaki-Kallianpur-Kunita for continuous time observations, and it is similar to the discrete time formula recently derived by Takeuchi and Akashi. The derivation of the new formula is extremely elementary, and it is based on the judicious choice of a certain homotopy function.
Keywords
Filtering; Time measurement;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1985 24th IEEE Conference on
Conference_Location
Fort Lauderdale, FL, USA
Type
conf
DOI
10.1109/CDC.1985.268923
Filename
4048661
Link To Document