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Kybernetika 33(4):409-425, 1997.

Approximation Approach for Nonlinear Filtering Problem with Time Dependent Noises. Part I: Conditionally Optimal Filter in the Minimum Mean Square Sense.

S. Hoang, T. L. Nguyen, R. Baraille and O. Talagrand


Abstract:

An approximation approach is proposed to design a nonlinear recursive filter which is conditionally optimal in the minimum mean square (MMS) sense for a nonlinear filtering problem with dependent noises. Definition of an MMS estimator in a given class of estimators is introduced and its uniqueness (with probability 1) is established in Theorem~1. Efficiency of a new optimal filter is illustrated in Theorems~2,\,3. Some numerical examples are presented.


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BIB TeX

@article{kyb:1997:4:409-425,

author = {Hoang, S. and Nguyen, T. L. and Baraille, R. and Talagrand, O.},

title = {Approximation Approach for Nonlinear Filtering Problem with Time Dependent Noises. Part I: Conditionally Optimal Filter in the Minimum Mean Square Sense.},

journal = {Kybernetika},

volume = {33},

year = {1997},

number = {4},

pages = {409-425}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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