A new suboptimal approach to the filtering problem for bilinear stochasticdifferential systems

The aim of this paper is to present a new approach to the filtering problem for the class of bilinear stochastic multivariable systems, consisting in searching for suboptimal state-estimates instead of the conditional statist ics. As a rst result, a finite-dimensional optimal linear filter for the co nsidered class of systems is defined. Then, the more general problem of des igning polynomial finite-dimensional filters is considered. The equations o f a finite-dimensional filter are given, producing a state-estimate which i s optimal in a class of polynomial transformations of the measurements with arbitrarily fixed degree. Numerical simulations show the effectiveness of the proposed filter.