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Informatika i Ee Primeneniya [Informatics and its Applications], 2019, Volume 13, Issue 1, Pages 16–24
DOI: https://doi.org/10.14357/19922264190103
(Mi ia573)
 

This article is cited in 1 scientific paper (total in 1 paper)

On a class of filtering problems on manifolds

K. A. Rybakov

Moscow Aviation Institute (National Research University), 4 Volokolamskoye Shosse, Moscow 125993, Russian Federation
Full-text PDF (277 kB) Citations (1)
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Abstract: The goal of the paper is to describe stochastic differential systems whose trajectories belong to a smooth manifold as an application to the optimal filtering problem. An additional condition is that not only system trajectories belong to the given manifold, but also the estimation results for these trajectories (solution of the optimal filtering problem with the minimum mean-squared error) belong to this manifold. Diffusion and jump-diffusion systems are considered. These systems can be driven by the Wiener process and the Poisson process. The main result is the conditions on coefficients of the equation for the estimated random process. These conditions are obtained on the basis of the first integral concept for the stochastic differential equation and some of its properties.
Keywords: invariant, estimation, manifold, optimal filtering, random process, stochastic differential system.
Funding agency Grant number
Russian Foundation for Basic Research 17-08-00530_а
The work was supported by the Russian Foundation for Basic Research (project 17-08-00530-а).
Received: 19.04.2018
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: K. A. Rybakov, “On a class of filtering problems on manifolds”, Inform. Primen., 13:1 (2019), 16–24
Citation in format AMSBIB
\Bibitem{Ryb19}
\by K.~A.~Rybakov
\paper On a class of filtering problems on manifolds
\jour Inform. Primen.
\yr 2019
\vol 13
\issue 1
\pages 16--24
\mathnet{http://mi.mathnet.ru/ia573}
\crossref{https://doi.org/10.14357/19922264190103}
\elib{https://elibrary.ru/item.asp?id=37170978}
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  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Информатика и её применения
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