Direct method for Yau filtering system with nonlinear observations

DOI10.1080/00207179.2017.1288300zbMath1396.93121OpenAlexW2584548403MaRDI QIDQ4584788

Zhiyu Yang, Ji Shi, Stephen Shing-Toung Yau

Publication date: 4 September 2018

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2017.1288300

zbMATH Keywords

Kolmogorov equationGaussian approximationnonlinear driftnonlinear observationDuncan-Mortensen-Zakai (DMZ) equation

Mathematics Subject Classification ID

Related Items (3)

Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm ⋮ Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2* ⋮ New Classes of Finite Dimensional Filters with Nonmaximal Rank Estimation Algebra on State Dimension $n$ and Linear Rank $n-2$

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