Title :
Discrete time piecewise linear filtering with small observation noise
Author :
De Oliveira, P. Milheiro ; Roubaud, M.C.
Author_Institution :
Faculdade de Engenharia, Porto Univ., Portugal
Abstract :
The authors describe a procedure that gives an approximate solution to a piecewise linear discrete time filtering problem with small observation noise. They present and compare different tests which make it possible to compute the intervals of linearity of the observation function, under a `detectability assumption´ based on the drift. Over such an interval, one can then approximate the optimal filter by the corresponding Kalman-Bucy filter
Keywords :
filtering and prediction theory; noise; signal processing; Kalman-Bucy filter; approximate solution; discrete time piecewise liner filtering; linearity; observation noise; signal processing; Concurrent computing; Filtering; Linearity; Nonlinear filters; Performance evaluation; Piecewise linear approximation; Piecewise linear techniques; Random variables; Testing; White noise;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261856