Robust Stochastic Filtering for Shot Noise and Levy Noise Driven Systems
Abstract
This project will develop and demonstrate a rigorous theory and novel methodology forrobust stochastic filtering of nonlinear stochastic dynamic systems driven by non-Gaussiannoise. Stochastic filtering is a mathematical technique used to estimate the state of a dynamicalsystem that is observed through a noisy sensor or measurement device. In this project, we adopt aBayesian approach to stochastic filtering and seek to compute a Bayes posterior probability measure over the state of the stochastic system, conditional on the history of the measurement process.
Document Details
- Document Type
- DoD Grant Award
- Publication Date
- Feb 06, 2025
- Source ID
- FA95502410210
Entities
People
- Harsha Honnappa
Organizations
- Air Force Office of Scientific Research
- Office of the Secretary of Defense
- Purdue University