Sequential nonlinear estimation with nonaugmented priors (Q1094800)

How can the basic compatibility of theory and observations be investigated for nonlinear processes without requiring stochastic characterizations for residual error terms? The present paper proposes a flexible least-cost approach. For each possible estimate x for the sequence of process states, let \(c_ D(x)\) and \(c_ M(x)\) denote the costs incurred for deviations away from the prior dynamic specifications and prior measurement specifications, respectively. Define the cost-efficiency frontier to be the greatest lower bound for the set of all possible cost pairs \((c_ D(x),c_ M(x))\), conditional on the given observations. State sequence estimates x which attain the cost-efficiency frontier indicate the possible ways the actual process could have developed over time in a manner minimally incompatible with the prior dynamic and measurement specifications. An algorithm is developed for the exact sequential updating of the cost- efficient state sequence estimates as the duration of the process increases and additional observations are obtained.