REDUCTION OF THE ZAKAI EQUATION BY INVARIANCE GROUP TECHNIQUES

A general procedure, inspired from that used for deterministic partial differential equations, is presented to reduce the Zakai stochastic P de of filtering on R-n to a stochastic Pde on a lower-dimensional spac e R-m, with m < n. The method is based upon invariance group technique s. We show how the existence of invariant solutions of the Zakai equat ion is related to geometric properties of the infinitesimal generator of the signal process. An illustration of the method to a two-dimensio nal tracking problem with bearings-only measurements is presented. Wit h a specific choice of the bearings-dependent output function, we obta in a continuous model for which the Zakai equation has solutions which can be computed from a one-dimensional stochastic Pde instead of a tw o-dimensional Pde for the general solution. (C) 1998 Elsevier Science B.V. All rights reserved.