Nonlinear filtering: A hybrid approximation scheme

This paper is concerned with nonlinear filtering schemes for systems which allow non-Gaussian noise. Using the most probable trajectory (MPT) approach, a finite-dimensional recursive hybrid filtering scheme is derived. By appropriately selecting a switching process, a linear hybrid system can be obtained that approximates the original nonlinear system. Then the MPT approach is used to obtain the hybrid filtering schemes for the nonlinear systems. Numerical experiments are carried out and reported.