Title :
New approach to filtering for nonlinear systems
Author_Institution :
University of London, Department of Electrical Engineering, Imperial College, London, UK
fDate :
9/1/1981 12:00:00 AM
Abstract :
The paper describes a recently developed reformulation of the optimal-filtering equations for a noisily observed diffusion process and discusses the computational implications. The computation involved is the solution of a parabolic partial differential equation whose coefficients are determined by the observed process. A Monte Carlo method of solution is proposed and given in detail as an example. It is argued that nonlinear filtering is now a practical proposition.
Keywords :
Monte Carlo methods; filtering and prediction theory; nonlinear systems; partial differential equations; Monte Carlo method; noisily observed diffusion process; nonlinear filtering; nonlinear systems; optimal-filtering equations; parabolic partial differential equation;
Journal_Title :
Control Theory and Applications, IEE Proceedings D
Conference_Location :
9/1/1981 12:00:00 AM
DOI :
10.1049/ip-d.1981.0037