Approximate nonlinear filtering for piecewise linear systems

DOI10.1016/0167-6911(88)90078-3MaRDI QIDQ1114657zbMATH OpenOpenAlexFDO

Authors Catherine Savona

Publication date 1988

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

Full work available at URL https://doi.org/10.1016/0167-6911(88)90078-3

zbMATH Keywords

convergence theoremnonlinear filteringtime discretization

Mathematics Subject Classification ID

Convergence of probability measures (60B10) 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

One considers a finite partition of the space consisting of polyhedra and one supposes that the coefficients of a nonlinear filtering problem are linear on each set of this partition; a time discretization scheme is proposed for this problem and a convergence theorem is given. The numerical involvements of the resulting algorithm are also discussed.

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Cites work

• An approximation for the nonlinear filtering problem, with error bound^†
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Cited in

(13)

• Some applied problems of recursive piecewise-linear filtering
• An approximate filter for a partially observed piecewise linear system with small observation noise
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• Linear Markov approximations of piecewise linear stochastic systems
• Nonlinear filtering for systems with random structure
• Approximate filters for a nonlinear discrete time filtering problem with small observation noise
• Autoregressive model with partial forgetting within Rao-Blackwellized particle filter
• Peak-to-peak filtering for periodic piecewise linear polytopic systems
• Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems
• Generalized continuous mixed p‐norm based sliding window algorithm for a bilinear system with impulsive noise

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