Nonlinear filtering problems with finite-dimensional matrix estimation algebras

DOI10.1016/0167-6911(86)90062-9MaRDI QIDQ1821080zbMATH OpenOpenAlexWikidataFDO

Authors Zvi S. Roth, Kenneth A. Loparo

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)90062-9

zbMATH Keywords

estimation algebrasnonlinear filteringrandom structure

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Inference from stochastic processes and prediction (62M20) Nonlinear systems in control theory (93C10) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Review text

The authors consider a nonlinear filtering problem of diffusion type that has random structure. The random structure is determined by a finite state Markov process. Necessary conditions for finite dimensionality of the (matrix) estimation algebras are given. Some specific cases of random structure filtering problems are discussed.

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Cites work

• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Exponential stability in discrete-time filtering for non-ergodic signal.
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• scientific article; zbMATH DE number 3861023 (Why is no real title available?)
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Cited in

(9)

• New exact nonlinear filters with large Lie algebras
• A survey of estimation algebras in application of nonlinear filtering problems
• scientific article; zbMATH DE number 3856962 (Why is no real title available?)
• Mitter conjecture for low dimensional estimation algebras in non-linear filtering†
• scientific article; zbMATH DE number 3918226 (Why is no real title available?)
• scientific article; zbMATH DE number 1303230 (Why is no real title available?)
• scientific article; zbMATH DE number 1537602 (Why is no real title available?)
• Nonlinear filtering for systems with random structure
• Some finite dimensional filters derived from the structure theorem for five-dimensional estimation algebras

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