Adaptive nonlinear continuous-discrete filtering

DOI10.1016/S0168-9274(03)00103-XzbMath1029.65009OpenAlexW2082027365MaRDI QIDQ1410606

Myoungho Oh, Vladimir Shin, Younghee Lee

Publication date: 14 October 2003

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0168-9274(03)00103-x

zbMATH Keywords

numerical examplesIto stochastic differential equationstochastic difference equationsContinuous-discrete filteringNonlinear stochastic systemOptimal adaptive filteringOptimal estimateSeparation theorem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Least squares and related methods for stochastic control systems (93E24) Stochastic systems in control theory (general) (93E03) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Conditionally optimal filtering and recognition of signals in stochastic differential systems
• Review of scientific works of Academician V. V. Pugachev
• Method of normal approximation in problems of adaptive discrete filtering and recognition
• Pugachev's filters for complex information processing
• Recursive filtering in discrete nonlinear systems with unknown parameters
• Stochastic processes and filtering theory
• Partitioned linear estimation algorithms: Discrete case
• Optimal non-linear estimation†
• Supervised learning sequential structure and parameter adaptive pattern recognition: Discrete data case (Corresp.)
• On joint detection, estimation and system identification: discrete data case

This page was built for publication: Adaptive nonlinear continuous-discrete filtering