Title :
Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity
Author :
Elliott, Robert J. ; Krishnamurthy, Vikram ; Poor, H. Vincent
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
fDate :
10/1/1999 12:00:00 AM
Abstract :
Finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These filters can be used with the expectation maximization algorithm to compute maximum likelihood estimates of the model parameters
Keywords :
continuous time systems; control nonlinearities; filtering theory; integral equations; maximum likelihood estimation; nonlinear control systems; Benes nonlinearity; continuous-time nonlinear systems; exact filters; expectation maximization algorithm; finite-dimensional filters; stochastic integrals; Hidden Markov models; Information processing; Maximum likelihood estimation; Nonlinear filters; Nonlinear systems; Parameter estimation; Signal processing; State estimation; Statistics; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
