具有小观测噪声的离散时间分段线性滤波

[1991] Proceedings of the 30th IEEE Conference on Decision and Control Pub Date : 1991-12-11 DOI:10.1109/CDC.1991.261856

P. Milheiro de Oliveira, M. Roubaud

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摘要

本文描述了一个具有小观测噪声的分段线性离散时间滤波问题的近似解。他们提出并比较了在基于漂移的“可探测性假设”下计算观测函数线性区间的不同测试。在这样一个区间内，我们可以用相应的卡尔曼-布西滤波器来近似最优滤波器

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Discrete time piecewise linear filtering with small observation noise

The authors describe a procedure that gives an approximate solution to a piecewise linear discrete time filtering problem with small observation noise. They present and compare different tests which make it possible to compute the intervals of linearity of the observation function, under a 'detectability assumption' based on the drift. Over such an interval, one can then approximate the optimal filter by the corresponding Kalman-Bucy filter.<>

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[1991] Proceedings of the 30th IEEE Conference on Decision and Control

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