Title :
Nonlinear filtering and large deviations
Author :
James, M.R. ; Baras, J.S.
Author_Institution :
University of Maryland, College Park, MD
Abstract :
We consider the nonlinear filtering problem dx = f(x)dt + ????dw, dy = h(x)dt + ????dv, and obtain lim????0 ??log q??(x, t) = -W(x,t) for unnormalised conditional densities q??(x,t) using PDE methods. Here, W(x,t) is the value function for a deterministic optimal control problem arising in Mortensen´s deterministic estimation, and is the unique viscosity solution of a Hamilton-Jacobi-Bellman equation.
Keywords :
Anodes; Control systems; Educational institutions; Filtering; Nonlinear control systems; Nonlinear equations; Nonlinear filters; Optimal control; Robustness; Viscosity;
Conference_Titel :
Decision and Control, 1987. 26th IEEE Conference on
Conference_Location :
Los Angeles, California, USA
DOI :
10.1109/CDC.1987.272708
