FINITE OPTIMAL FILTERS FOR A CLASS OF NONLINEAR DIFFUSIONS WITH JUMPING PARAMETERS.

被引：6
|
作者：
Bjork, Tomas
机构：
来源：
Stochastics | 1982年 / 6卷 / 02期
关键词：
NONLINEAR DIFFUSIONS - OPTIMAL FITERS;
D O I：
10.1080/17442508208833198
中图分类号：
学科分类号：
摘要：
A Markovian jump process theta , with finite state space, feeding the parameters of a nonlinear diffusion process X is considered. theta and X are observed in white noise. Given a function f, it is desired to construct a finite filter for the f(X//t)-process. An algorithm is investigated which will produce a finite filter if it halts after a finite number of steps. Necessary and sufficient conditions for this to happen are presented.
引用
收藏
页码：121 / 138
相关论文
共 50 条
  • [21] A NEW CLASS OF NONLINEAR FILTERS - NEURAL FILTERS
    LIN, Y
    ASTOLA, J
    NEUVO, Y
    [J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 1993, 41 (03) : 1201 - 1222
  • [22] On a class of optimal stopping problems for diffusions with discontinuous coefficients
    Rueschendorf, Ludger
    Urusov, Mikhail A.
    [J]. ANNALS OF APPLIED PROBABILITY, 2008, 18 (03): : 847 - 878
  • [23] Optimal finite-time passive controller design for uncertain nonlinear Markovian jumping systems
    He, Shuping
    Liu, Fei
    [J]. JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2014, 351 (07): : 3782 - 3796
  • [24] A new class of nonlinear filters
    Cheng, QS
    Zhou, XB
    [J]. ICSP '98: 1998 FOURTH INTERNATIONAL CONFERENCE ON SIGNAL PROCESSING, PROCEEDINGS, VOLS I AND II, 1998, : 237 - 241
  • [25] New class of nonlinear filters
    Peking Univ, Beijing, China
    [J]. Int Conf Signal Process Proc, (237-241):
  • [26] APPROXIMATIONS TO OPTIMAL NONLINEAR FILTERS
    KUSHNER, HJ
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1967, AC12 (05) : 546 - &
  • [27] Self-triggered filter design for a class of nonlinear stochastic systems with Markovian jumping parameters
    Yang, Hua
    Wang, Zidong
    Shen, Yuxuan
    Alsaadi, Fuad E.
    [J]. NONLINEAR ANALYSIS-HYBRID SYSTEMS, 2021, 40
  • [28] Finite products of filters that are compact relative to a class of filters
    Jordan, Francis
    Labuda, Iwo
    Mynard, Frederic
    [J]. APPLIED GENERAL TOPOLOGY, 2007, 8 (02): : 161 - 170
  • [29] Optimal Design of Chemical Processes with the Aid of Structural Parameters.
    Floquet, P.
    Pibouleau, L.
    Domenech, S.
    [J]. Entropie Paris, 1986, 22 (132): : 75 - 83
  • [30] Synthesis of Optimal Linear Systems with Large Variations of the Parameters.
    Russ, Ion
    [J]. Buletinul Institutului Politehnic Gheorghe Gheorghiu-Dej Bucuresti. Seria electrotehnica, 1980, 42 (04): : 69 - 76
12345