Minimal dimensional linear filters for discrete-time Markovprocesses with finite state space

Di Masi G.B.; Kitsul P.I.

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Minimal dimensional linear filters for discrete-time Markovprocesses with finite state space

机译：具有有限状态空间的离散时间马尔可夫过程的最小维线性滤波器

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We consider a filtering problem for a discrete-time Markov process with k states observed in white Gaussian noise. It is known that in this situation the best linear estimate is given by a k-dimensional Kalman filter, and in some cases the dimension of such a filter can be reduced. Here, using a backward semimartingale description of the process and results from stochastic realization theory, we provide an algorithm for the construction of the minimal dimensional linear filter

机译：我们考虑在高斯白噪声中观察到k个状态的离散时间马尔可夫过程的一个滤波问题。已知在这种情况下，最佳线性估计由k维卡尔曼滤波器给出，在某些情况下，可以减小这种滤波器的尺寸。在此，使用对过程的后向半描述以及随机实现理论的结果，我们为最小维线性滤波器的构造提供了一种算法

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《IEEE Transactions on Automatic Control》 |1996年第10期|p.1545-1549|共5页
作者
Di Masi G.B.; Kitsul P.I.;
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正文语种 eng
中图分类自动化系统;
关键词
Gaussian noise; Kalman filters; Markov processes; discrete time systems; filtering theory; realisation theory; state estimation; state-space methods; white noise; backward semimartingale description; best linear estimate; discrete-time Markov processes; finite state;

机译：高斯噪声;卡尔曼滤波器;马尔可夫过程;离散时间系统;滤波理论;实现理论;状态估计;状态空间方法;白噪声;向后半mart描述;最佳线性估计;离散时间马尔可夫过程;有限状态;

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专利

1. Minimal dimensional linear filters for discrete-time Markov processes with finite state space [J] . Di Masi G.B., Kitsul P.I. IEEE Transactions on Automatic Control . 1996,第10期

机译：具有有限状态空间的离散时间马尔可夫过程的最小维线性滤波器
2. FINITE-DIMENSIONAL FILTERS WITH NONLINEAR DRIFT .13. CLASSIFICATION OF FINITE-DIMENSIONAL ESTIMATION ALGEBRAS OF MAXIMAL RANK WITH STATE-SPACE DIMENSION [J] . Chen J., Leung CW., Yau SST. SIAM Journal on Control and Optimization . 1997,第4期

机译：非线性漂移的有限尺寸滤波器.13。具有状态空间维的最大秩的有限维估计代数的分类
3. New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models [J] . Elliott R.J., Krishnamurthy V. IEEE Transactions on Automatic Control . 1999,第5期

机译：用于离散时间线性高斯模型参数估计的新有限维滤波器
4. A necessary condition for the existence of finite dimensional filters for discrete-time nonlinear systems [C] . Busvelle, E., Rakotopara, . 1990

机译：离散非线性系统有限维滤波器存在的必要条件
5. Non-linear filtering for state space models -- High-dimensional applications and theoretical results. [D] . Lei, Jing. 2010

机译：状态空间模型的非线性滤波-高维应用和理论结果。
6. Projections Onto Super-Half-Spaces for Monotone Variational Inequality Problems in Finite-Dimensional Space [O] . Yair Censor, Aviv Gibali -1

机译：有限维空间上单调变分不等式问题的超半空间上的投影
7. Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems [O] . S. Dey, J.B. Moore 1999

机译：用于离散时间非线性系统的有限风险敏感过滤器和SmoOthers
8. Finite Dimensional Filters with Nonlinear Drift I: A Class of Filters IncludingBoth K alman-Bucy Filters and Benes Filters [R] . Yau, S. S. 1994

机译：非线性漂移的有限维滤波器I：包括K alman-Bucy滤波器和Benes滤波器的一类滤波器

Minimal dimensional linear filters for discrete-time Markovprocesses with finite state space

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