New results in Sridhar filtering theory (Q1090302)

Using the Pontryagin minimum principle and the method of invariant imbedding a new nonlinear adaptive filter is obtained. The filter is basically a new result in what is known as Sridhar filtering theory. The stability, bias and convergence properties of the derived filter are studied. The classical problem of filtering a sinusoidal signal in white noise is presented as an example.