Discrete time piecewise linear filtering with small observation noise

• Type: Article in International Scientific Journal
• Date: 1995

Authors

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

Journal

Title: IEEE Transactions on Automatic Control

Vol. 40 No. 12

Pages: 2149-2152

ISSN: 0018-9286

Publisher: IEEE

Indexing

ISI Web of Science

Scopus

Scientific classification

FOS: Natural sciences > Mathematics

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

Other information

DOI: 10.1109/9.478343

Resumo (PT): A problem of discrete.time piecewise linear filtering: with small observation noise is considered. The case in which the observation function is not one-to-one and has two intervals of linearity is studied, in particular when this function is symmetric. Under some detectability assumption, a procedure is presented to detect. the intervals of linearity of the observation function. During such time intervals, one can then approximate the optimal filter by the corresponding Kalman-Bucy filter.

Abstract (EN): A problem of discrete.time piecewise linear filtering: with small observation noise is considered. The case in which the observation function is not one-to-one and has two intervals of linearity is studied, in particular when this function is symmetric. Under some detectability assumption, a procedure is presented to detect. the intervals of linearity of the observation function. During such time intervals, one can then approximate the optimal filter by the corresponding Kalman-Bucy filter.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 4