Direct Method for Time-Varying Nonlinear Filtering Problems

被引：7
|
作者：
Chen, Xiuqiong [1 ]
Luo, Xue [2 ]
Yau, Stephen S. -T. [1 ]
机构：
[1] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China
[2] Beihang Univ, Sch Math & Syst Sci, Beijing 100191, Peoples R China
来源：
IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS | 2017年 / 53卷 / 02期
基金：
中国国家自然科学基金;
关键词：
FINITE-DIMENSIONAL FILTERS; DRIFT; EQUATION; SYSTEM;
D O I：
10.1109/TAES.2017.2651650
中图分类号：
V [航空、航天];
学科分类号：
08 ; 0825 ;
摘要：
This paper discusses how to solve a filtering problem for a class of continuous nonlinear time-varying systems via the Duncan-Mortensen-Zakai (DMZ) equation. In this paper, the original DMZ equation is changed into the Kolmogorov forward equation (KFE) by exponential transformations in each time interval, and then, under some assumptions, the KFE can be transformed into a time-varying Schrodinger equation, which can be solved explicitly. The novelty of this paper lies in how to transform the KFE into the Schrodinger equation. As a direct application, the results of the paper "Nonlinear filtering and time varying Schrodinger equation" are extended for time-varying Yau systems.
引用
收藏
页码：630 / 639
页数：10
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