On a Necessary and Sufficient Condition for Finite Dimensionality of Estimation Algebras

DOI10.1137/0328009zbMath0694.93103OpenAlexW1981762376MaRDI QIDQ3470385

Wing Shing Wong, Luen-Fai Tam, Stephen Shing-Toung Yau

Publication date: 1990

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0328009

zbMATH Keywords

nonlinear filtering problemsfinite-dimensional recursive filtersestimation algebraWei-Norman program

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Initial value problems for second-order parabolic equations (35K15) Solvable, nilpotent (super)algebras (17B30)

Related Items (20)

A note on estimation algebras on nonlinear filtering theory ⋮ Exact Finite-Dimensional Filter for Exponential Functionals of the State of Beneš Systems ⋮ Finite-dimensional filters with nonlinear drift. VI: Linear structure of \(\Omega\) ⋮ Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering ⋮ Explicit solution of a Kolmogorov equation ⋮ Direct method for Yau filtering system with nonlinear observations ⋮ Finite dimensional filters with non-linear drift IX Construction of finite dimensional estimation algebras of non-maximal rank ⋮ Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2* ⋮ Finite Dimensional Estimation Algebras with State Dimension 3 and rank 2, I: Linear Structure of Wong Matrix ⋮ Hessian matrix non-decomposition theorem and its application to nonlinear filtering ⋮ Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture ⋮ Mitter conjecture for low dimensional estimation algebras in non-linear filtering† ⋮ New Classes of Finite Dimensional Filters with Nonmaximal Rank Estimation Algebra on State Dimension $n$ and Linear Rank $n-2$ ⋮ Classification of finite-dimensional estimation algebras of maximal rank with arbitrary state–space dimension and mitter conjecture ⋮ The novel classes of finite dimensional filters with non-maximal rank estimation algebra on state dimension four and rank of one ⋮ Complete classification of finite-dimensional estimation algebras of maximal rank ⋮ Structure theorem for five-dimensional estimation algebras ⋮ Finite-dimensional filter for a class of nonlinear systems with correlated noises ⋮ Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program ⋮ Parallel computations for Yau filters

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