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

G. Blankenship*, A. Haddad

*Corresponding author for this work

Research output: Contribution to journalConference articlepeer-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 languageEnglish (US)
Pages (from-to)115-120
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
StatePublished - Jan 1 1978
EventProc IEEE Conf Decis Control Incl Symp Adapt Processes 17th - San Diego, CA, USA
Duration: Jan 10 1979Jan 12 1979

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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