• DocumentCode
    306940
  • Title

    New direct method for Yau filtering system with arbitrary initial conditions

  • Author

    Yau, Stephen S -T ; Hu, Guo-Qing

  • Author_Institution
    Dept. of Math., Stat. & Comput. Sci., Illinois Univ., Chicago, IL, USA
  • Volume
    3
  • fYear
    1996
  • fDate
    11-13 Dec 1996
  • Firstpage
    2539
  • Abstract
    In this paper we consider the explicit solution of the Duncan-Mortensen-Zakai (DMZ) equation for the finite dimensional filtering system. We show that the Yau filtering system (∂fj /∂xi-∂fi/∂xj=c ij=constant for all i,j) can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation. Let n be the dimension of state space. We show that we need only n sufficient statistics in order to solve the DMZ equation
  • Keywords
    Lie algebras; differential equations; filtering theory; multidimensional systems; Duncan-Mortensen-Zakai equation; Kolmogorov-type equation; Yau filtering system; direct method; finite dimensional filtering system; ordinary differential equations; sufficient statistics; Algebra; Differential algebraic equations; Differential equations; Filtering; Mathematics; Nonlinear equations; Nonlinear filters; Partial differential equations; Riccati equations; Statistics;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
  • Conference_Location
    Kobe
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-3590-2
  • Type

    conf

  • DOI
    10.1109/CDC.1996.573479
  • Filename
    573479
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=306940