Title :
High order filtering for nonlinear dynamical systems
Author :
Boutayeb, M. ; Darouach, M. ; Frank, P.M.
Author_Institution :
CRAN CNRS URA, Cosnes et Romain, France
Abstract :
We present a sequential and workable approach for high order filtering of nonlinear dynamical systems. First, an explicit form of the algorithm using the multidimensional Taylor series expansion of the Kushner-Stratonovitch equations is given, no restriction on the upper bound of the order is needed. Next, we generalize the formula for the expectation of the product of four to Gaussian random variables in order to establish the final form of the filtering algorithm
Keywords :
Gaussian processes; filtering theory; nonlinear dynamical systems; series (mathematics); state estimation; stochastic systems; Gaussian random variables; Kushner-Stratonovitch equations; Taylor series; high order filtering; nonlinear dynamical systems; state estimation; upper bound; Differential equations; Electronic mail; Filtering; Nonlinear equations; Nonlinear filters; Random variables; State estimation; Stochastic systems; Taylor series; Upper bound;
Conference_Titel :
American Control Conference, 1997. Proceedings of the 1997
Conference_Location :
Albuquerque, NM
Print_ISBN :
0-7803-3832-4
DOI :
10.1109/ACC.1997.611078
