Exact filters for certain moments and stochastic integrals of the state ofsystems with Benes nonlinearity

Authors
Elliott, RJ Krishnamurthy, V Poor, HV
Citation
Rj. Elliott et al., Exact filters for certain moments and stochastic integrals of the state ofsystems with Benes nonlinearity, IEEE AUTO C, 44(10), 1999, pp. 1929-1933
Citations number
15
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN journal
00189286 → ACNP
Volume
44
Issue
10
Year of publication
1999
Pages
1929 - 1933
Database
ISI
SICI code
0018-9286(199910)44:10<1929:EFFCMA>2.0.ZU;2-4
Abstract
Finite-dimensional filters for integrals and stochastic integrals of moment s of the state for continuous-time nonlinear systems with Benes nonlinearit y are derived. These new filters can be used with the expectation maximizat ion (EM) algorithm to compute maximum likelihood estimates of the model par ameters.