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A new suboptimal approach to the filtering problem for bilinear stochastic differential systems

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3 Author(s)
Carravetta, F. ; Istituto di Analisi dei Sistemi ed Inf., CNR, Rome, Italy ; Germani, A. ; Shuakayev, M.K.

The aim of this paper is to present a new approach to the filtering problem for the class of bilinear stochastic multivariable systems, consisting in searching for suboptimal state-estimates instead of the conditional statistics. As a first result, a finite-dimensional optimal linear filter for the considered class of systems is defined. Then, the more general problem of designing polynomial finite-dimensional filters is considered. The equations of a finite-dimensional filter are given, producing a state-estimate which is optimal in a class of polynomial transformations of the measurements with arbitrarily fixed degree. Numerical simulations show the effectiveness of the proposed filter

Published in:

Decision and Control, 2000. Proceedings of the 39th IEEE Conference on  (Volume:5 )

Date of Conference:

2000