Filtrage linéaire par morceaux d'un systeme en temps discret avec petit bruit d'observation

• Type: Technical Report
• Date: 1991

Authors

Paula Milheiro de Oliveira (Author) FEUP; M. Roubaud (Author) Other

Scientific classification

CORDIS: Physical sciences > Mathematics > Applied mathematics > Engineering mathematics ; Physical sciences > Mathematics > Applied mathematics ; Physical sciences > Mathematics > Probability theory ; Technological sciences > Engineering > Systems engineering > Systems theory

Associated Institutions

INRIA - Institut National de Recherche en Informatique et Automatiqu

Other information

Abstract (EN): We are interested in a piecewise linear discrete time filtering problem with small observation noise. We present and compare different tests which enable us to compute the intervals of linearity of the observation function, specially when it is symmetric. Over such an interval, we can then approximate the optimal filter by the correspon-ding Kalman-Bucy filter. As in [FJSZ], we approximate discrete time processes by diffusions, in order to estimate the probabilities of error and the expected times for taking a decision.

Language: Portuguese

Type (Professor's evaluation): Scientific

Reference: Rapport de Recherche 1451