Exact filters for certain moments and stochastic integrals of thestate of systems with Benes nonlinearity

Elliott R.J.; Krishnamurthy V.; Poor H.V.

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Exact filters for certain moments and stochastic integrals of thestate of systems with Benes nonlinearity

机译：具有Benes非线性的系统状态的某些矩和随机积分的精确滤波器

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摘要

Finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These filters can be used with the expectation maximization algorithm to compute maximum likelihood estimates of the model parameters

机译：导出了具有Benes非线性的连续时间非线性系统的状态矩积分和随机积分的有限维滤波器。这些滤波器可以与期望最大化算法一起使用，以计算模型参数的最大似然估计

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《IEEE Transactions on Automatic Control》 |1999年第10期|p.1929-1933|共5页
作者
Elliott R.J.; Krishnamurthy V.; Poor H.V.;
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原文格式 PDF
正文语种 eng
中图分类自动化系统;
关键词
continuous time systems; control nonlinearities; filtering theory; integral equations; maximum likelihood estimation; nonlinear control systems; Benes nonlinearity; continuous-time nonlinear systems; exact filters; expectation maximization algorithm; finite-dimens;

机译：连续时间系统;控制非线性;滤波理论;积分方程;最大似然估计;非线性控制系统;Benes非线性;连续时间非线性系统;精确滤波器;期望最大化算法;有限维;

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专利

1. Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity [J] . Elliott R.J., Krishnamurthy V. IEEE Transactions on Automatic Control . 1999,第10期

机译：具有Benes非线性的系统状态的某些矩和随机积分的精确滤波器
2. Finite-dimensional filters with nonlinear drift. III: Duncan-Mortensen-Zakai equation with arbitrary initial condition for the linear filtering system and the Benes filtering system [J] . Shing-Tung Yau, Yau S.S.-T. IEEE Transactions on Aerospace and Electronic Systems . 1997,第4期

机译：具有非线性漂移的有限维滤波器。 III：线性滤波系统和Benes滤波系统具有任意初始条件的Duncan-Mortensen-Zakai方程
3. Finite-dimensional filters with nonlinear drift. III: Duncan-Mortensen-Zakai equation with arbitrary initial condition for the linear filtering system and the Benes filtering system [J] . Shing-Tung Yau, Yau S.S.-T. IEEE Transactions on Aerospace and Electronic Systems . 1997,第4期

机译：具有非线性漂移的有限维滤波器。 III：线性滤波系统和Benes滤波系统具有任意初始条件的Duncan-Mortensen-Zakai方程
4. Finite dimensional filters for moments and stochastic integrals ofthe state of nonlinear Benes systems [C] . Elliott R., Krishnamurthy V. Information Theory, 1998. Proceedings. 1998 IEEE International Symposium on . -1

机译：矩和随机积分的有限维滤波器非线性Benes系统的状态
5. Properties of multiple stochastic integrals with respect to fractional Brownian motion and their application to nonlinear filtering. [D] . Chivoret, Sebastien. 2005

机译：关于分数布朗运动的多个随机积分的性质及其在非线性滤波中的应用。
6. Ultimately Bounded Filtering for Time-Delayed Nonlinear Stochastic Systems with Uniform Quantizations under Random Access Protocol [O] . Jiyue Guo, Zidong Wang, Lei Zou, 2020

机译：最终有限于随机接入协议下具有均匀量化的时延的非线性随机系统的界限滤波
7. Bayesian Estimation of Volatility with Moment-BasedNonlinear Stochastic Filters [O] . Grothe Oliver, Singer Hermann 2006

机译：基于矩的贝叶斯波动率估计非线性随机滤波器
8. Practical Control Algorithms for Nonlinear Stochastic Systems and Investigations of Nonlinear Filters [R] . Alspach, D. L., Samant, V. S., Sorenson, H. W. 1980

机译：非线性随机系统的实用控制算法及非线性滤波器的研究

Exact filters for certain moments and stochastic integrals of thestate of systems with Benes nonlinearity

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