Title :
Optimal linear finite-dimensional filtering for vector bilinear stochastic differential systems
Author :
Carravetta, Francesco ; Germani, Alfredo
Author_Institution :
Ist. di Analisi dei Sistemi ed Inf., CNR, Rome, Italy
Abstract :
A way to build up the optimal linear filter for a bilinear stochastic differential system is presented. The method uses a new representation of the vector bilinear noisy terms as wide-sense Wiener processes. The considered system evolves in a finite-dimensional vector space. The optimal linear filter has the structure a finite-dimensional Kalman-Bucy scheme
Keywords :
Kalman filters; bilinear systems; filtering theory; stochastic systems; finite-dimensional Kalman-Bucy scheme; finite-dimensional vector space; optimal linear finite-dimensional filtering; vector bilinear stochastic differential systems; wide-sense Wiener processes; Bismuth; Ear; Filtering; Indium tin oxide; Maximum likelihood detection; Nonlinear filters; Random variables; Stochastic systems; Symmetric matrices; Vectors;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.757919
