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A sequential method for nonlinear filtering: Numerical implementation and comparisons

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Abstract

Exact equations are presented for sequentially updating the optimal solution for a discrete-time analog of the basic Sridhar nonlinear filtering problem as the process length increases and new observations are obtained. A tabular method is described for implementing numerically the sequential filtering equations. The accuracy and efficiency of the tabular method are illustrated by means of several numerical examples.

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References

  1. Bellman, R., Kagiwada, H., Kalaba, R., andSridhar, R.,Invariant Imbedding and Nonlinear Filtering Theory, Journal of the Astronautical Sciences, Vol. 13, pp. 110–115, 1966.

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Author information

Authors and Affiliations

  1. University of Southern California, Los Angeles, California

    R. Kalaba (Professor of Economics and Biomedical Engineering) & L. Tesfatsion (Assistant Professor of Economics)

  2. Space and Communications Group, Hughes Aircraft Company, Los Angeles, California

    K. Spingarn (Senior Staff Engineer)

Authors
  1. R. Kalaba
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  2. K. Spingarn
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  3. L. Tesfatsion
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Additional information

Dedicated to R. Sridhar

The work of R. Kalaba and L. Tesfatsion was partially supported by the National Science Foundation under Grant No. ENG-77-28432 and by the National Institutes of Health under Grant No. GM-23732-03.

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Kalaba, R., Spingarn, K. & Tesfatsion, L. A sequential method for nonlinear filtering: Numerical implementation and comparisons. J Optim Theory Appl 34, 541–559 (1981). https://doi.org/10.1007/BF00935892

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  • DOI: https://doi.org/10.1007/BF00935892

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