On the Mortensen equation for maximum likelihood state estimation

Authors
Aihara, SI Bagchi, A
Citation
Si. Aihara et A. Bagchi, On the Mortensen equation for maximum likelihood state estimation, IEEE AUTO C, 44(10), 1999, pp. 1955-1961
Citations number
9
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
1955 - 1961
Database
ISI
SICI code
0018-9286(199910)44:10<1955:OTMEFM>2.0.ZU;2-G
Abstract
The main purpose of the present paper is to formulate the maximum likelihoo d state estimation problem correctly for a continuous-time nonlinear stocha stic dynamical system. By using the Onsager-Machlup functional, a modified likelihood is introduced. The basic equation for the maximum likelihood sta te estimate is derived with the aid of a dynamic programming approach. The numerical procedure for realizing the recursive filtering is also proposed with some numerical results.