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Direct method for time-varying nonlinear filtering

Xiuqiong Chen Tsinghua University Xue Luo Beihang University Stephen S.-T. Yau Tsinghua University

Optimization and Control mathscidoc:1612.27001

IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS
This paper discusses how to solve filtering problem for a class of continuous nonlinear time-varying systems via Duncan-Mortensen-Zakai (DMZ) equation. In this paper, the original DMZ equation is changed into Kolmogorov forward equation (KFE) by exponential transformations in each time interval, and then under some assumptions, the KFE can be transformed into time-varying Schr\"odinger equation which can be solved explicitly. The novelty of this paper lies in how to transform the KFE into Schr\"odinger equation. As a direct application, the results of \cite{yau 2004} are extended for time-varying Yau systems.
Nonlinear filtering, Duncan-Mortensen-Zakai (DMZ) equation, time-varying Yau system, Schrodinger Equation.
[ Download ] [ 2016-12-05 15:41:50 uploaded by Jane_Chen ] [ 918 downloads ] [ 0 comments ] 
@inproceedings{xiuqiongdirect,
  title={Direct method for time-varying nonlinear filtering},
  author={Xiuqiong Chen, Xue Luo, and Stephen S.-T. Yau},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20161205154150640333675},
  booktitle={IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS},
}
Xiuqiong Chen, Xue Luo, and Stephen S.-T. Yau. Direct method for time-varying nonlinear filtering. In IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20161205154150640333675.
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