Title :
Separation of observations and parameters in nonlinear filtering
Author :
Mikulevicius, R. ; Rozovskii, B.L.
Author_Institution :
Center for Appl. Math. Sci., Univ. of Southern California, Los Angeles, CA, USA
Abstract :
Proposes a spectral approach to nonlinear filtering. It is based on the Wiener chaos decomposition on the probability space generated by the observations. This approach gives rise to new numerical schemes for nonlinear filtering. The main feature of these algorithms is that they allow one to separate the computations involving the observations from those dealing with system parameters
Keywords :
Brownian motion; chaos; filtering and prediction theory; probability; spectral analysis; stochastic processes; Wiener chaos decomposition; nonlinear filtering; observations; parameters; probability space; spectral approach; Chaos; Filtering; High performance computing; Indium tin oxide; Informatics; Mathematics; Nonlinear equations; Polynomials; Signal processing; Zinc;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325450
