Discrete time piecewise linear filtering with small observation noise

• Type: Article in International Conference Proceedings Book
• Date: 1991

Authors

Milheiro de Oliveira, P (Author) FEUP; Roubaud, MC (Author) Other

Conference proceedings International

Title: Proceedings of the IEEE Conference on Decision and Control

Pages: 2752-2753

Proceedings of the 30th IEEE Conference on Decision and Control Part 1 (of 3)

Brighton, Engl, 11 December 1991 through 13 December 1991

Indexing

ISI Web of Knowledge

Scopus - 0 Citations

Other information

Authenticus ID: P-008-KNR

DOI: 10.1109/cdc.1991.261856

Resumo (PT): We describe a procedure that gives us an approximate solution to a piecewise linear discrete time filtering problem with small observation noise. We present and compare different tests which en-able us to compute the intervals of linearity o! the observation function, under a "detectability assumption" based on the drift. Over such an interval, we can then approximate the optimal filter by the correspon-ding Kalman-Bucy filter

Abstract (EN): 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 2