Optimal Filters for Bilinear Systems with Nilpotent Lie Algebras.

Abstract

We consider a bilinear signal process driven by a Gauss-Markov process which is observed in additive, white, gaussian noise. An exact stochastic differential equation for the least squares filter is derived when the Lit algebra associated with the signal process is nilpotent. It is shown that the filter is also bilinear and moreover that it satisfies an analogous nilpotency condition. Finally, some special cases and an example are discussed, indicating ways of reducing the filter dimensionality. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1978
Accession Number
ADA062094

Entities

People

  • James Ting-ho Lo
  • Shirish D. Chikte

Organizations

  • University of Maryland, Baltimore County

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Control Systems
  • Differential Equations
  • Equations
  • Estimators
  • Filters
  • Filtration
  • Information Science
  • Kalman Filters
  • Lie Groups
  • Linear Differential Equations
  • Mathematical Analysis
  • Mathematical Filters
  • Mathematics
  • New York
  • Random Variables
  • Stochastic Processes
  • Theorems

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Mathematical Modeling and Probability Theory.