Title :
Solution of the Zakai Equation by Separation of Variables
Author :
Daum, Frederick E.
Author_Institution :
Raytheon Company, Boston Post Road, Wayland, MA. 01778
Abstract :
An exact expression for the unnormalized conditional density is derived for certain nonlinear estimation problems. The basic method is to solve the Zakai equation using separation of variables. This new filter is a generalization of the Kalman-Bucy filter, the Bene¿ filter and other nonlinear filters within a unified framework.
Keywords :
Density measurement; Differential equations; Indium tin oxide; Kalman filters; Motion measurement; Nonlinear equations; Nonlinear filters; Q measurement; Stochastic processes; Time measurement;
Conference_Titel :
American Control Conference, 1987
Conference_Location :
Minneapolis, MN, USA
