DocumentCode :
1934456
Title :
Continuous-discrete filtering using the Dirac-Feynman algorithm
Author :
Balaji, Bhashyam ; McDonald, Mike
Author_Institution :
Radar Syst. Sect., Defence R&D Canada, Ottawa, ON
fYear :
2008
fDate :
26-30 May 2008
Firstpage :
1
Lastpage :
6
Abstract :
The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation(FPKfe). In this paper, the path integral formula for the fundamental solution of the FPKfe is presented for the case the signal model noise is additive. The simplest approximation of the path integral formula leads to the Dirac-Feynman algorithm for continuous-discrete filtering. The practical utility of the proposed Dirac-Feynman algorithm is demonstrated in a fully nonlinear filtering problem where it is shown that it leads to highly accurate and reliable results. The Feynman path integral approach to nonlinear filtering has several advantages, especially in terms of ease in practical implementation.
Keywords :
Fokker-Planck equation; filtering theory; nonlinear filters; partial differential equations; Dirac-Feynman algorithm; Fokker-Planck-Kolmogorov forward equation; additive signal noise model; continuous-discrete filtering; nonlinear filtering problem; partial differential equation; path integral formula; Additive noise; Filtering algorithms; Filtering theory; Integral equations; Nonlinear equations; Nonlinear filters; Partial differential equations; Physics; Probability distribution; Quantum mechanics; Feynman Path Integral; Fokker-Planck Equation; Nonlinear Filtering;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Radar Conference, 2008. RADAR '08. IEEE
Conference_Location :
Rome
ISSN :
1097-5659
Print_ISBN :
978-1-4244-1538-0
Electronic_ISBN :
1097-5659
Type :
conf
DOI :
10.1109/RADAR.2008.4721047
Filename :
4721047
Link To Document :
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