Some remarks on estimation algebras

DOI10.1016/0167-6911(86)90118-0MaRDI QIDQ1080830zbMATH OpenOpenAlexFDO

Authors P. C. Collingwood

Publication date 1986

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(86)90118-0

zbMATH Keywords

estimation algebrafinite dimensional filternonlinear filtering

Mathematics Subject Classification ID

Lie algebras and Lie superalgebras (17B99) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes and prediction (62M20) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11)

Review text

It is known in nonlinear filtering theory that the existence of a finite dimensional filter requires very restrictive conditions on the so-called estimation algebra, which is an algebra of operators generated by those operators which appear in Zakai's equation. The present paper gives necessary conditions for the estimation algebra to be finite dimensional, and then considers the particular case where the unknown process is a controlled process with random initial condition but without driving noise.

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Cites work

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• Current algebras and the identification problem
• scientific article; zbMATH DE number 3831022 (Why is no real title available?)
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Cited in

(10)

• Some remarks on estimation algebras
• On a new class of finite dimensional estimation algebras
• Theorems on the structure of finite dimensional estimation algebras
• A note on estimation algebras on nonlinear filtering theory
• Nonlinear filtering problems with finite-dimensional matrix estimation algebras
• Explicit solution of a Kolmogorov equation
• Current algebras and the identification problem
• On a Necessary and Sufficient Condition for Finite Dimensionality of Estimation Algebras
• scientific article; zbMATH DE number 1303230 (Why is no real title available?)
• The estimation Lie algebra associated with quantum filters

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