Title :
Solution of the Zakai equation by separation of variables
Author :
Daum, Frederick E.
Author_Institution :
Raytheon Company, Wayland, MA, USA
fDate :
10/1/1987 12:00:00 AM
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. The new filter is a generalization of the Kalman-Bucy filter, the Benes̆ filter, and other nonlinear filters within a unified framework.
Keywords :
Nonlinear estimation; Stochastic differential equations; Algorithms; Constraint optimization; Costs; Differential equations; Filters; Motion measurement; Nonlinear equations; Numerical analysis; Optimal control; Packaging;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1987.1104460
