Nonlinear filtering: A hybrid approximation scheme

This paper is concerned with nonlinear filtering schemes for systems which allow non-Gaussian noise. Using the most probable trajectory (MPT) approach , a finite-dimensional recursive hybrid filtering scheme is derived. By app ropriately selecting a switching process, a linear hybrid system can be obt ained that approximates the original nonlinear system. Then the MPT approac h is used to obtain the hybrid filtering schemes for the nonlinear systems. Numerical experiments are carried out and reported.