DocumentCode
3207761
Title
Fast nonlinear filter for continuous-discrete time multiple models
Author
Lototsky, Sergey V. ; Rao, Chuanxia ; 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
4071
Abstract
A fast algorithm is proposed for computing online the optimal nonlinear filter in the continuous-discrete time, multiple model setting. Using the finite element approximation on a spatial grid with N points and performing part of the computations off line, the online complexity of the algorithm is shown to be O(N) for all dimensions of the state process. The error of the approximation is also studied
Keywords
computational complexity; filtering theory; finite element analysis; nonlinear filters; optimisation; continuous-discrete time multiple models; fast nonlinear filter; finite element approximation; multiple model setting; online complexity; optimal nonlinear filter; Differential equations; Filtering; Finite element methods; Integral equations; Mathematical model; Nonlinear equations; Nonlinear filters; State estimation; Statistics; Time measurement;
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.1996.577382
Filename
577382
Link To Document