Simulation and Computation Research on Nonlinear Filtering
Abstract
We have found the best solution to Duncan-Mortensen-Zakai equation for Kalman -Bucy filtering system with arbitrary initial condition. We show that this equation can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov type equation. The Kolmogorov equation can be computed off time. We have given several algorithms to do parallel computation for the system of ordinary differential equations. As a result, we achieve the real-time solution to Duncan-Mortensen-Zakai equation for Yau filtering system with initial condition. Under Yau's direction, Professor Yeu-Tai Lai and his students in the Department of Electrical Engineering, National Cheng Kung University, Taiwan, has successfully implemented an ODEs solver for the Yau filtering system in hardware.
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 31, 2001
- Accession Number
- ADA392631
Entities
People
- Stephen Sik-Sang Yau
Organizations
- University of Illinois at Chicago