Least-squares state estimation of systems with state-dependent observation noise

DOI10.1016/0005-1098(85)90063-9zbMath0565.93055OpenAlexW2148749330MaRDI QIDQ1059039

Yoshiki Takeuchi, Hajime Akashi

Publication date: 1985

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(85)90063-9

zbMATH Keywords

nonlinear filteringoptimal filtercontinuous-time systemsleast-squares state estimationBayes-type formulastate-dependent observation noise

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Model systems in control theory (93C99)

Related Items (6)

Wonham filtering by observations with multiplicative noises ⋮ Optimal Control of Continuous-Time Markov Chains with Noise-Free Observation ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ \( \mathcal{L}_1\)-optimal filtering of Markov jump processes. III: Identification of system parameters ⋮ \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes ⋮ Filtering of continuous-time Markov chains with noise-free observation and applications

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic differential equations for the non linear filtering problem
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Nonlinear Filtering Formulas for Discrete-Time Observations
• Optimal linear filtering for linear systems with state-dependent noise
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• An innovations approach to least-squares estimation--Part V: Innovations representations and recursive estimation in colored noise

This page was built for publication: Least-squares state estimation of systems with state-dependent observation noise