Numerical studies in nonlinear filtering

zbMath0551.62067MaRDI QIDQ800676

Yaakov Yavin

Publication date: 1985

Published in: Lecture Notes in Control and Information Sciences (Search for Journal in Brave)

zbMATH Keywords

numerical examplesKalman filterconditional expectationsfinite-dimensional filtersstate observationcovariance estimationMarkov chain approximationnumerical studiesPredictionapproximate solutions to nonlinear state estimation problemsdetection problemsEstimation of parametersFujisaki- Kallianpur-Kunita filtering formulainterrupted observationslinear filtering with non-Gaussian initial conditionsmultitarget environmentnonlinear continuous-time systemsWiener and Poisson processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Pathwise approximation and simulation for the Zakai filtering equation through operator splitting ⋮ Filtering for a class of nonlinear MIMO uncertain time-delay stochastic systems ⋮ A computationally efficient technique for state estimation of nonlinear systems ⋮ Distribution function tracking filter design using hybrid characteristic functions ⋮ Filtering on nonlinear time-delay stochastic systems ⋮ Recursive estimation of a discrete-time Markov chain

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