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) |
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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