DocumentCode
2978573
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
fYear
1988
fDate
7-9 Dec 1988
Firstpage
2346
Abstract
The authors propose an approximately optimal filter for the filtering problem dx t=f (x t ) dt +g (x t) dw t , dy t=h (x t) dt +εdv t⩾0, where x t is a scalar unobserved process, y t is a scalar observed process, ε>0 is a small parameter, and w t, v t 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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location
Austin, TX
Type
conf
DOI
10.1109/CDC.1988.194758
Filename
194758
Link To Document