Remarks on linear and nonlinear filtering. (English) Zbl 0833.93055
This paper deals with estimation of the state of semi-Markov processes. It attempts to give a short survey of relationships existing between the Viterbi and the forward-backward algorithm (used in the context of hidden Markov models, widely used for speech recognition) on one hand, and Kalman filtering and Rauch-Tung-Striebel smoothing on the other hand. It is shown how those algorithms are related. For illustration, an example of a nonlinear hybrid system that can be filtered with a mixed algorithm is introduced.
Reviewer: B.Mathiszik (Halle)
MSC:
93E11 | Filtering in stochastic control theory |
93C10 | Nonlinear systems in control theory |
93E25 | Computational methods in stochastic control (MSC2010) |