Optimal structure of continuous nonlinear reduced-order Pugachev filter

DOI10.1134/S1064230713060099zbMATH Open1307.93429MaRDI QIDQ2017628FDOQ2017628

E. A. Rudenko

Publication date: 23 March 2015

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

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zbMATH Keywords

Fokker-Planck-Kolmogorov equationdiffusion Markovian state vectorfast nonlinear low-memory filterlinear Kalman-Bucy filtermean-square locally optimal structural functions of the filternon-parametric synthesis problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

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Cited In (11)

• The synthesis of the proportional-differential regulators for the systems with fixed ends of trajectories under two-sided constraints on control values
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• Linear-cubic locally optimal control of linear systems and its application for aircraft guidance
• Pugachev's filters for complex information processing
• Operational absolutely optimal dynamic control of the stochastic differential plant's state by its output
• Optimal finite-dimensional controller of the stochastic differential object's state by its output. I: Incomplete precise measurements
• Low-order discrete linear filters: Their optimal structure
• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Operational-optimal finite-dimensional dynamic controller of the stochastic differential plant's state according to its output. I: General nonlinear case
• Optimal continuous-discrete nonlinear finite memory filter with discrete predictions

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