DocumentCode
1340189
Title
A differential geometric approach to nonlinear filtering: the projection filter
Author
Brigo, Damiano ; Hanzon, Bernard ; LeGland, Francois
Author_Institution
CARIPLO Bank, Milan, Italy
Volume
43
Issue
2
fYear
1998
fDate
2/1/1998 12:00:00 AM
Firstpage
247
Lastpage
252
Abstract
This paper presents a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach to statistics. The projection filter is defined rigorously in the case of exponential families. A convenient exponential family is proposed which allows one to simplify the projection filter equation and to define an a posteriori measure of the local error of the projection filter approximation. Finally, simulation results are discussed for the cubic sensor problem
Keywords
differential geometry; filtering theory; nonlinear filters; probability; statistical analysis; cubic sensor; differential geometry; exponential families; finite dimensional filters; nonlinear filtering; nonlinear filters; probability; projection filter; Density measurement; Differential equations; Filtering; Geometry; Nonlinear equations; Nonlinear filters; Partial differential equations; State estimation; Statistics; Stochastic processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.661075
Filename
661075
Link To Document