A differential geometric approach to nonlinear filtering: the projection filter

A differential geometric approach to nonlinear filtering: the projection filter

We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which...

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Bibliographische Detailangaben
Hauptverfasser: Brigo, D., Hanzon, B., Le Gland, F.
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Differential equations
Econometrics
Filtering
Glands
Kalman filters
Mathematics
Nonlinear equations
Nonlinear filters
Partial differential equations
Probability
State estimation
Statistics
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Beschreibung
Zusammenfassung:We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which allows one to simplify the projection filter equation, and to define an a posteriori measure of the performance of the projection filter.
ISSN:0191-2216
DOI:10.1109/CDC.1995.479232