Nonlinear filtering revisited: a spectral approach. II

Author

Lototsky, Sergey V. ; Mikulevicius, Remijigus ; Rozovskii, Boris L.

Author_Institution

Center for Appl. Math. Sci., Univ. of Southern California, Los Angeles, CA, USA

Volume

4

fYear

1996

fDate

11-13 Dec 1996

Firstpage

4060

Abstract

For pt. I see SIAM Journal on Control and Optimization (1997). A recursive in time Wiener chaos representation of the optimal nonlinear filter is derived for a continuous time diffusion model with uncorrelated noises. The existing representations are either not recursive or require a prior computation of the unnormalized filtering density, which is time consuming. An algorithm is developed for computing a recursive approximation of the filter, and the error of the approximation is obtained. When the parameters of the model are known in advance, the online speed of the algorithm can be increased by performing part of the computations off line

Keywords

Wiener filters; chaos; diffusion; filtering theory; noise; nonlinear filters; continuous time diffusion model; optimal nonlinear filter; recursive Wiener chaos representation; recursive approximation; spectral approach; uncorrelated noises; unnormalized filtering density; Additive noise; Approximation algorithms; Chaos; Filtering; Informatics; Mathematical model; Mathematics; Nonlinear filters; Signal processing; Signal processing algorithms;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1996., Proceedings of the 35th IEEE Conference on

Conference_Location

Kobe

ISSN

0191-2216

Print_ISBN

0-7803-3590-2

Type

conf

DOI

10.1109/CDC.1996.577379

Filename

577379