Kalman filter and quantization

被引：0
作者：
A. I. Ovseevich
机构：
[1] RAS,Institute for Problems in Mechanics
来源：
Problems of Information Transmission | 2008年 / 44卷
关键词：
KALMAN Filter; Information Transmission; Riccati Equation; Conditional Density; Liouville Operator;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We give an interpretation of the problem of filtering of diffusion processes as a quantization problem. Based on this, we show that the classical Kalman-Bucy linear filter describes a flow of automorphisms of the Heisenberg algebra. We obtain new formulas for the unnormalized conditional density in the linear case, a new interpretation of the Mehler formula for the fundamental solution of the Schrödinger operator for a harmonic oscillator, and formulas for a regularized determinant of a Sturm-Liouville operator.
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页码：53 / 71
页数：18
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