A New Algorithm for Nonlinear Filtering
G.B. DiMasi, Diego Bricio Hernández, Thomas J. S. Taylor · Birkhäuser Boston eBooks · 1993
The systems and control literature has displayed a long-standing interest in the recursive filtering or estimation problem going back to the solution of the linear filtering problem with the introduction of the Kalman-Bucy Filter in the 1960’s. The nonlinear filtering problem has unfortunately not yielded so readily to analysis, to the extent that in most cases there does not exist any widely accepted method of approximating solutions which is both accurate and sufficiently computationally tractable for real time computation. It is the goal of this note to suggest a type of transformation of the discrete time nonlinear filtering equations providing a reformulation of the problem that, in certain circumstances, may be more easily treated. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.