Optimal estimation equations for the state vector of a stochastic bilinear system: Its bilinear approximation

被引：4

作者：

Shaikin, ME ^{[1
]}

机构：

[1] Russian Acad Sci, Trapeznikov Inst Control Sci, Moscow, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2004年 / 65卷 / 12期

关键词：

Mechanical Engineer; System Theory; Diffusion Process; State Vector; Stochastic System;

D O I：

10.1023/B:AURC.0000049879.83675.c2

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A finite-dimensional approximation for the optimal filtrating equations of the class of Markov diffusion processes described by a bilinear stochastic system is derived. The solution of the stochastic system is expressed in terms of the Peano series and its formal algebraic representation. A finite system of equations for the approximate filter is derived as the optimal Stratonovich-Kushner filter for a system with finite Peano series.

引用

页码：1946 / 1960

页数：15

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