APPROXIMATION APPROACH FOR NONLINEAR FILTERING PROBLEM WITH TIME-DEPENDENT NOISES .1. CONDITIONALLY OPTIMAL FILTER IN THE MINIMUM MEAN-SQUARE SENSE

Authors
HOANG S NGUYEN TL BARAILLE R TALAGRAND O
Citation
S. Hoang et al., APPROXIMATION APPROACH FOR NONLINEAR FILTERING PROBLEM WITH TIME-DEPENDENT NOISES .1. CONDITIONALLY OPTIMAL FILTER IN THE MINIMUM MEAN-SQUARE SENSE, Kybernetika, 33(4), 1997, pp. 409-425
Citations number
29
Categorie Soggetti
Controlo Theory & Cybernetics","Computer Science Cybernetics
Journal title
Kybernetika → ACNP
ISSN journal
00235954
Volume
33
Issue
4
Year of publication
1997
Pages
409 - 425
Database
ISI
SICI code
0023-5954(1997)33:4<409:AAFNFP>2.0.ZU;2-6
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. Defini tion of an MMS estimator in a given class of estimators is introduced and its uniqueness (with probability 1) is established in Theorem 1. E fficiency of a new optimal filter is illustrated in Theorems 2, 3. Som e numerical examples are presented.