非线性滤波问题的实时算法

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) Pub Date : 2001-12-04 DOI:10.1109/CDC.2001.980569

S. Yau, S. Yau

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引用次数: 4

摘要

非线性滤波理论的基本问题是如何实时、无记忆地求解鲁棒D-M-Z方程。本文提出了一种新的实时滤波算法，将非线性滤波问题简化为离线计算。当漂移项和观测动态项呈线性增长时，我们的算法在点向和L/sup 2/下均给出了收敛解。所提出的算法比我们之前的论文(2000)中给出的算法稍微好一些。

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Real time algorithm for nonlinear filtering problem

The fundamental problem of nonlinear filtering theory is how to solve robust D-M-Z equation in real time and in memoryless manner. This paper describes a new real time algorithm which reduces the nonlinear filtering problem to off-line computations. Our algorithm gives convergent solutions in both pointwise sense and L/sup 2/ in case that the drift term and observation dynamic term have linear growths. The algorithm presented is slightly better than that given in our previous paper (2000).

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Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228)

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