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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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