Algebraic and Geometric Methods in Nonlinear Filtering
Copyright policy )Algebraic and Geometric Methods in Nonlinear Filtering
This article surveys algebraic and geometric methods in nonlinear filtering. The central equation for study is the Duncan-Mortensen-Zakai equation of nonlinear filtering. The major discussion centers around nonlinear systems and Lie algebraic methods. A number of examples are given that exhibit finite dimensional filters or the nonexistence of finite dimensional filters. This paper should provide the reader with a useful introduction to these topics.
Stochastic partial differential equations (aspects of stochastic analysis), nonlinear filtering, Lie algebras and Lie superalgebras, Nonlinear systems in control theory, finite dimensional filters, Duncan-Mortensen-Zakai equation, Filtering in stochastic control theory, Signal detection and filtering (aspects of stochastic processes), Inference from stochastic processes and prediction
Stochastic partial differential equations (aspects of stochastic analysis), nonlinear filtering, Lie algebras and Lie superalgebras, Nonlinear systems in control theory, finite dimensional filters, Duncan-Mortensen-Zakai equation, Filtering in stochastic control theory, Signal detection and filtering (aspects of stochastic processes), Inference from stochastic processes and prediction
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