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
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;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.577382
