Title :
Piecewise monotone filtering with small observation noise
Author :
Fleming, W.H. ; Pardoux, Etienne
Author_Institution :
Div. of Appl. Math., Brown Univ., Providence, RI, USA
Abstract :
The authors propose an approximately optimal filter for the filtering problem dxt=f(xt ) dt+g(xt) dwt , dyt=h(xt) dt+εdvt⩾0, where xt is a scalar unobserved process, yt is a scalar observed process, ε>0 is a small parameter, and w t, vt are mutually independent standard Wiener processes. They treat the case when h(x) is not one-to-one, but has a finite number of maxima and minima
Keywords :
filtering and prediction theory; noise; optimisation; signal processing; Wiener processes; maxima; minima; observation noise; optimal filter; piecewise monotone filtering; signal processing; Algebra; Contracts; Differential equations; Discrete wavelet transforms; Filtering; Filters; Mathematics; Stochastic systems; Sufficient conditions; Testing;
Conference_Titel :
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location :
Austin, TX
DOI :
10.1109/CDC.1988.194758
