PIECEWISE-LINEAR FILTERING WITH SMALL OBS ERVATION NOISE

Authors
ROUBAUD MC
Citation
Mc. Roubaud, PIECEWISE-LINEAR FILTERING WITH SMALL OBS ERVATION NOISE, Applied mathematics & optimization, 32(2), 1995, pp. 163-194
Citations number
26
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics & optimization → ACNP
ISSN journal
00954616
Volume
32
Issue
2
Year of publication
1995
Pages
163 - 194
Database
ISI
SICI code
0095-4616(1995)32:2<163:PFWSOE>2.0.ZU;2-8
Abstract
We consider a piecewise linear filtering problem with small observatio n noise. In two different situations;we construct an approximate finit e-dimensional filter based on several Kalman-Bucy filters running in p arallel and a procedure of tests. In the first case our work generaliz es some results of Fleming et al. to more general piecewise linear dyn amics.