Buch, Englisch, Band 380, 208 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 365 g
Buch, Englisch, Band 380, 208 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 365 g
Reihe: Lecture Notes in Control and Information Sciences
ISBN: 978-3-540-70802-5
Verlag: Springer Berlin Heidelberg
0. 1 Introduction Although the general optimal solution of the ?ltering problem for nonlinear state and observation equations confused with white Gaussian noises is given by the Kushner equation for the conditional density of an unobserved state with respect to obser- tions (see [48] or [41], Theorem 6. 5, formula (6. 79) or [70], Subsection 5. 10. 5, formula (5. 10. 23)), there are a very few known examples of nonlinear systems where the Ku- ner equation can be reduced to a ?nite-dimensional closed system of ?ltering eq- tions for a certain number of lower conditional moments. The most famous result, the Kalman-Bucy ?lter [42], is related to the case of linear state and observation equations, where only two moments, the estimate itself and its variance, form a closed system of ?ltering equations. However, the optimal nonlinear ?nite-dimensional ?lter can be - tained in some other cases, if, for example, the state vector can take only a ?nite number of admissible states [91] or if the observation equation is linear and the drift term in the 2 2 state equation satis?es the Riccati equation df /dx + f = x (see [15]). The complete classi?cation of the “general situation” cases (this means that there are no special - sumptions on the structure of state and observation equations and the initial conditions), where the optimal nonlinear ?nite-dimensional ?lter exists, is given in [95].
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Technische Wissenschaften Technik Allgemein Mess- und Automatisierungstechnik
- Mathematik | Informatik Mathematik Mathematische Analysis Variationsrechnung
- Technische Wissenschaften Elektronik | Nachrichtentechnik Elektronik Überwachungstechnik
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
Weitere Infos & Material
Optimal Filtering for Polynomial Systems.- Further Results: Optimal Identification and Control Problems.- Optimal Filtering Problems for Time-Delay Systems.- Optimal Control Problems for Time-Delay Systems.- Sliding Mode Applications to Optimal Filtering and Control.
