On the Mortensen equation for maximum likelihood state estimation

被引：3
|
作者：
Aihara, SI
Bagchi, A
机构：
[1] Sci Univ Tokyo, Suwa Coll, Dept Management & Syst Sci, Nagano 39102, Japan
[2] Univ Twente, Dept Appl Math, NL-7500 AE Enschede, Netherlands
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1999年 / 44卷 / 10期
关键词：
finitely additive white noise; HJB-equation; maximum likelihood estimate; Onsager-Machlup functional;
D O I：
10.1109/9.793785
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The main purpose of the present paper is to formulate the maximum likelihood state estimation problem correctly for a continuous-time nonlinear stochastic dynamical system. By using the Onsager-Machlup functional, a modified likelihood is introduced. The basic equation for the maximum likelihood state estimate is derived with the aid of a dynamic programming approach. The numerical procedure for realizing the recursive filtering is also proposed with some numerical results.
引用
收藏
页码：1955 / 1961
页数：7
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