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Singular perturbation, state aggregation, and nonlinear filtering

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2 Author(s)
Hijab, O. ; Case Western Reserve University, Cleveland, OH ; Sastry, S.

Consider a state process t ?? x??(t) evolving in Rn whose motion is that of a pure jump process in Rn, in the 0(1) time scale, upon which is super -imposed a continuous motion along the orbits of a gradient-like vector field g in Rn, in the 0(1/??) time scale i.e. the infinitesimal generator of the state process is of the form L + (1/??)g. If we consider observations of the form dy = h(x??(t))dt + db(t), t ?? 0, then for each ?? > 0 the corresponding nonlinear filter is infinite dimensional. We show however that the projected motion t ?? x-??(t) onto the equilibrium points of g is, in the limit as ?? ?? 0, a finite-state process governed by some explicit L- on the finite state space consisting of the equilibrium points of g. We then show that the corresponding filters converge to a finite-state Wonham filter.

Published in:

Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on

Date of Conference:

16-18 Dec. 1981

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