• DocumentCode
    854117
  • Title

    Solution of the Zakai equation by separation of variables

  • Author

    Daum, Frederick E.

  • Author_Institution
    Raytheon Company, Wayland, MA, USA
  • Volume
    32
  • Issue
    10
  • fYear
    1987
  • fDate
    10/1/1987 12:00:00 AM
  • Firstpage
    941
  • Lastpage
    943
  • Abstract
    An exact expression for the unnormalized conditional density is derived for certain nonlinear estimation problems. The basic method is to solve the Zakai equation using separation of variables. The new filter is a generalization of the Kalman-Bucy filter, the Benes̆ filter, and other nonlinear filters within a unified framework.
  • Keywords
    Nonlinear estimation; Stochastic differential equations; Algorithms; Constraint optimization; Costs; Differential equations; Filters; Motion measurement; Nonlinear equations; Numerical analysis; Optimal control; Packaging;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1987.1104460
  • Filename
    1104460
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=854117