Discrete time piecewise linear filtering with small observation noise

• Tipo: Artigo em Livro de Atas de Conferência Internacional
• Data: 1991

Autores

Milheiro de Oliveira, P (Autor) FEUP; Roubaud, MC (Autor) Outra

Ata de Conferência Internacional

Título: Proceedings of the IEEE Conference on Decision and Control

Páginas: 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

Indexação

ISI Web of Knowledge

Scopus - 0 Citações

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 2