Title :
General piecewise linear filtering problems with small observation noise
Author :
Pardoux, E. ; Roubaud, M.C.
Author_Institution :
INRIA, Valbonne, France
Abstract :
An algorithm which is based on several Kalman filters running in parallel is presented. A test procedure for deciding which Kalman filter to follow, which produces a good estimate of the unobserved system process in a nonlinear filtering problem with piecewise linear dynamics and small observation noise is developed. The results generalize those of W.H. Fleming, D. Ji, and E. Pardoux (1988)
Keywords :
Kalman filters; filtering and prediction theory; Kalman filters; observation noise; piecewise linear dynamics; piecewise linear filtering; Extraterrestrial measurements; Filtering algorithms; Measurement standards; Nonlinear dynamical systems; Nonlinear filters; Piecewise linear approximation; Piecewise linear techniques; Signal to noise ratio; Stochastic systems; System testing;
Conference_Titel :
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location :
Tampa, FL
DOI :
10.1109/CDC.1989.70109
