Comments on "Finite-dimensional filters with nonlinear drift" [and addendum]

Author

Daum, F.E. ; Yau, Stephen S.-T ; Yau, Stephen

Author_Institution

Raytheon Co., Marlborough, MA, USA

Volume

34

Issue

2

fYear

1998

fDate

4/1/1998 12:00:00 AM

Firstpage

689

Lastpage

692

Abstract

Over ten years ago Daum [1986-88] introduced nonlinear filters for discrete time measurements which are more general than the filters recently announced by Yau and Yau [1997] for continuous time observations. The authors say that, "Recently Yau and Yau introduced a new direct method to solve the estimation problem... . They factored the problem into two parts: 1) the on-line solution of a finite system of ordinary differential equations (ODEs), and 2) the off-line calculation of the Kolmogorov equation." However, this direct method of factorization was introduced over ten years ago as indicated explicitly in the quote from Daum [1987]. Yau and Yau give a response to Daum\´s comments.

Keywords

discrete time filters; filtering theory; multidimensional digital filters; nonlinear filters; Kolmogorov equation; continuous time observations; discrete time measurements; factorization; finite-dimensional filters; nonlinear drift; nonlinear filters; ordinary differential equations; Application software; Covariance matrix; Differential equations; Filtering theory; Noise measurement; Nonlinear equations; Nonlinear filters; Statistics; Time measurement; Vectors;

fLanguage

English

Journal_Title

Aerospace and Electronic Systems, IEEE Transactions on

Publisher

ieee

ISSN

0018-9251

Type

jour

DOI

10.1109/7.670361

Filename

670361