A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems

DOI10.1137/S0363012997320912zbMATH Open0957.93079OpenAlexW2181056773MaRDI QIDQ4507403FDOQ4507403

Authors: Francesco Carravetta, A. Germani, Marat K. Shuakayev 

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012997320912

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zbMATH Keywords

polynomial filteringKalman-Bucy filteringsquare integrable martingalesKronecker algebrastochastic bilinear systemswide-sense Wiener processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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• Feedback polynomial filtering and control of non-Gaussian linear time-varying systems
• Suboptimal linear estimation for continuous-discrete bilinear systems
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• Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
• Dynamics of a stochastically perturbed two-body problem
• Quadratic estimation for discrete time-varying non-Gaussian systems with multiplicative noises and quantization effects
• Volterra series arising from the discrete Schrödinger wave equation in \(L^{2}[a, b]\) space
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• A state predictor for continuous-time stochastic systems
• A decoupled approach to filter design for stochastic systems
• Optimal estimation equations for the state vector of a stochastic bilinear system: its bilinear approximation
• A separation theorem for stochastic singular linear quadratic control problem with partial information
• Bilinear systems with nilpotent Lie algebra: optimal finite-dimensional filtering of their state vector
• A stochastic optimal regulator for a class of nonlinear systems
• \(\mathcal H_\infty\) functional filtering for stochastic bilinear systems with multiplicative noises
• Cubification of \(\sigma \pi \)-SDE and exact moment equations
• A Kolmogorov-Fokker-Planck approach for a stochastic Duffing-van der Pol system
• A Kushner approach for small random perturbations of the Duffing-van der Pol system
• A novel suboptimal method for solving polynomial filtering problems

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