Optimal estimation of nonlinear state nonlinear observation systems

DOI10.1007/BF00939628MaRDI QIDQ1106802zbMATH OpenOpenAlexFDO

Authors George Christakos

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00939628

zbMATH Keywords

factorable random processesnonlinear modelling and estimationrecursive estimation

Mathematics Subject Classification ID

Sequential estimation (62L12) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

The concept of this work is that research on nonlinear modelling and estimation in a stochastic framework brings with it the study of the orthogonality structure of the probability densities involved. The connection is made by means of a probabilistic quantity, called the theta function, which under fairly broad integrability conditions defines the class of factorable random processes. These processes play a central role in the derivation of a recursive estimation scheme which is mathematically optimal and computationally attractive. The theory of factorable processes is simpler and its relevance to estimation practice is more direct than that of other sophisticated nonlinear approaches, like martingales and Lie algebras.

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Cited in

(15)

• Optimal nonlinear estimation on the plane
• Sequential nonlinear estimation with nonaugmented priors
• Recursive nonlinear estimation. A geometric approach
• Stationary problem of Bayes nonlinear estimation
• Direct approach to estimation and nonlinear estimation of measurements
• Geometric estimation of nonlinear process systems
• Optimization based on quasi-Monte Carlo sampling to design state estimators for non-linear systems
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• Optimal state estimation for equality‐constrained systems with complex noise
• A Bayesian/maximum-entropy view to the spatial estimation problem
• Active state estimation of nonlinear systems
• Recursive nonlinear estimation: A geometric approach
• A suboptimal algorithm of estimation of the state and the parameters of multidimensional continuous nonlinear systems

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