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Problemy Peredachi Informatsii, 2001, Volume 37, Issue 4, Pages 97–111
(Mi ppi538)
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This article is cited in 1 scientific paper (total in 1 paper)
Methods of Signal Processing
Parametric Filtering: Optimal Synthesis on a Nonlinear Dynamic Variety
V. Yu. Tertychny-Dauri
Abstract:
We analyze the optimal parametric filtering problem for a wide class of nonlinear stochastic systems. Much attention is paid to validation of formed models of observation and estimation since derivation of equations that determine the mean-square optimal filter directly depends on a rational choice of the models. We find conditions under which the original optimal filtering problem is equivalent to the dual optimal control problem. Synthesis of the optimal filter is accompanied by the analysis of properties of solutions of filtering equations obtained.
Received: 10.01.2000 Revised: 19.06.2001
Citation:
V. Yu. Tertychny-Dauri, “Parametric Filtering: Optimal Synthesis on a Nonlinear Dynamic Variety”, Probl. Peredachi Inf., 37:4 (2001), 97–111; Problems Inform. Transmission, 37:4 (2001), 365–379
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https://www.mathnet.ru/eng/ppi538 https://www.mathnet.ru/eng/ppi/v37/i4/p97
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Abstract page: | 396 | Full-text PDF : | 124 | References: | 50 |
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