DocumentCode
1249134
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
Volume
44
Issue
10
fYear
1999
fDate
10/1/1999 12:00:00 AM
Firstpage
1929
Lastpage
1933
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.793739
Filename
793739
Link To Document