• DocumentCode
    2188355
  • Title

    Real time algorithm for nonlinear filtering problem

  • Author

    Yau, Stephen S T ; Shing-Tung Yau

  • Author_Institution
    MSCS, Univ. of Illinois, Chicago, IL, USA
  • Volume
    3
  • fYear
    2001
  • fDate
    2001
  • Firstpage
    2137
  • Abstract
    The fundamental problem of nonlinear filtering theory is how to solve robust D-M-Z equation in real time and in memoryless manner. This paper describes a new real time algorithm which reduces the nonlinear filtering problem to off-line computations. Our algorithm gives convergent solutions in both pointwise sense and L2 in case that the drift term and observation dynamic term have linear growths. The algorithm presented is slightly better than that given in our previous paper (2000)
  • Keywords
    convergence; filtering theory; nonlinear filters; probability; real-time systems; D-M-Z equation; drift term; nonlinear filtering; observation dynamic term; pointwise convergence; probability density; real time algorithm; signal observation model; Algebra; Differential equations; Filtering algorithms; Filtering theory; Maximum likelihood detection; Military computing; Nonlinear equations; Nonlinear filters; Real time systems; Robustness;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
  • Conference_Location
    Orlando, FL
  • Print_ISBN
    0-7803-7061-9
  • Type

    conf

  • DOI
    10.1109/.2001.980569
  • Filename
    980569
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2188355