Optimal continuous-discrete nonlinear finite memory filter with discrete predictions

DOI10.1134/S1064230716050129zbMath1383.93089MaRDI QIDQ1743194

E. A. Rudenko

Publication date: 13 April 2018

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

zbMATH Keywords

Fokker-Planck-Kolmogorov equationscontinuous stochastic objectcontinuous-discrete nonlinear finite memory filtermost precise estimate

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Fokker-Planck equations (35Q84)

Related Items (4)

Using maximum cross section method for filtering jump-diffusion random processes ⋮ Optimal structure of recurrent nonlinear filters of large order for diffusion signals ⋮ Continuous finite-dimensional locally optimal filtering of jump diffusions ⋮ Optimal recurrent nonlinear filter of a large order for jump diffusion Markov signals

Cites Work

• A optimal discrete nonlinear arbitrary-order filter
• Low-order discrete linear filters: Their optimal structure
• Optimal discrete nonlinear filters of the objects's order and their Gaussian approximations
• Optimal structure of continuous nonlinear reduced-order Pugachev filter
• A survey of numerical methods for nonlinear filtering problems
• Stochastic processes and filtering theory
• Estimation of variables and parameters in discrete-time nonlinear systems
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