A Gaussian approximation recursive filter for nonlinear systems with correlated noises

DOI10.1016/j.automatica.2012.06.035zbMath1257.93102OpenAlexW2034543950MaRDI QIDQ1937522

Quan Pan, Yan Liang, Xiaoxu Wang, Feng Yang

Publication date: 1 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2012.06.035

zbMATH Keywords

nonlinear stochastic systemscorrelated noisesminimum mean square error (MMSE)divided difference filterdivided difference filter (DDF)Gaussian approximation filterpredictive probability density function

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55)

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