ASYMPTOTIC ANALYSIS OF A CLASS OF NONLINEAR FILTERING PROBLEMS - 1. A GENERIC EXAMPLE.

G. Blankenship; A. Haddad

ASYMPTOTIC ANALYSIS OF A CLASS OF NONLINEAR FILTERING PROBLEMS - 1. A GENERIC EXAMPLE.

G. Blankenship^*, A. Haddad

^*Corresponding author for this work

Electrical and Computer Engineering

Research output: Contribution to journal › Conference article › peer-review

Abstract

A class of nonlinear estimation problems are considered for systems involving Markov processes. The systems are parameterized so that their solutions are asymptotic (weakly) to diffusion processes. When the latter are Gauss-Markov processes to which the Kalman-Bucy filtering algorithm applies, the authors compute formal power series for the conditional densities in terms of the conditional density in the Kalman-Bucy problem. A generic example is treated in detail.

Original language	English (US)
Pages (from-to)	115-120
Number of pages	6
Journal	Proceedings of the IEEE Conference on Decision and Control
State	Published - 1978
Event	Proc IEEE Conf Decis Control Incl Symp Adapt Processes 17th - San Diego, CA, USA Duration: Jan 10 1979 → Jan 12 1979

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

Cite this

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title = "ASYMPTOTIC ANALYSIS OF A CLASS OF NONLINEAR FILTERING PROBLEMS - 1. A GENERIC EXAMPLE.",

abstract = "A class of nonlinear estimation problems are considered for systems involving Markov processes. The systems are parameterized so that their solutions are asymptotic (weakly) to diffusion processes. When the latter are Gauss-Markov processes to which the Kalman-Bucy filtering algorithm applies, the authors compute formal power series for the conditional densities in terms of the conditional density in the Kalman-Bucy problem. A generic example is treated in detail.",

author = "G. Blankenship and A. Haddad",

year = "1978",

language = "English (US)",

pages = "115--120",

journal = "Proceedings of the IEEE Conference on Decision and Control",

issn = "0191-2216",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

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AU - Blankenship, G.

AU - Haddad, A.

PY - 1978

Y1 - 1978

N2 - A class of nonlinear estimation problems are considered for systems involving Markov processes. The systems are parameterized so that their solutions are asymptotic (weakly) to diffusion processes. When the latter are Gauss-Markov processes to which the Kalman-Bucy filtering algorithm applies, the authors compute formal power series for the conditional densities in terms of the conditional density in the Kalman-Bucy problem. A generic example is treated in detail.

AB - A class of nonlinear estimation problems are considered for systems involving Markov processes. The systems are parameterized so that their solutions are asymptotic (weakly) to diffusion processes. When the latter are Gauss-Markov processes to which the Kalman-Bucy filtering algorithm applies, the authors compute formal power series for the conditional densities in terms of the conditional density in the Kalman-Bucy problem. A generic example is treated in detail.

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UR - http://www.scopus.com/inward/citedby.url?scp=0018053273&partnerID=8YFLogxK

M3 - Conference article

AN - SCOPUS:0018053273

SN - 0191-2216

SP - 115

EP - 120

JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

T2 - Proc IEEE Conf Decis Control Incl Symp Adapt Processes 17th

Y2 - 10 January 1979 through 12 January 1979

ER -

ASYMPTOTIC ANALYSIS OF A CLASS OF NONLINEAR FILTERING PROBLEMS - 1. A GENERIC EXAMPLE.

Abstract

ASJC Scopus subject areas

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