Title :
Approximate solution of nonlinear filtering problems by direct implementation of the Zakai equation
Author_Institution :
University of Maryland, College Park, Maryland
Abstract :
Numerical methods for the solution of the robust version of the Duncan-Mortensen-Zakai partial differential equation are considered. Both semidiscretization and complete discretization schemes are included. Direct implementation of such schemes via array processors is proposed as a design method for nonlinear filters. The importance of existence, uniqueness and tail behavior of solutions is related to properties of such implementations.
Keywords :
Algorithm design and analysis; Design methodology; Differential equations; Educational institutions; Filtering; Nonlinear equations; Nonlinear filters; Partial differential equations; Robustness; Very large scale integration;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269536
