Optimal Estimation Equations for the State Vector of a Stochastic Bilinear System: Its Bilinear Approximation

被引：0
|
作者：
M. E. Shaikin
机构：
[1] Russian Academy of Sciences,Trapeznikov Institute of Control Sciences
来源：
Automation and Remote Control | 2004年 / 65卷
关键词：
Mechanical Engineer; System Theory; Diffusion Process; State Vector; Stochastic System;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A finite-dimensional approximation for the optimal filtrating equations of the class of Markov diffusion processes described by a bilinear stochastic system is derived. The solution of the stochastic system is expressed in terms of the Peano series and its formal algebraic representation. A finite system of equations for the approximate filter is derived as the optimal Stratonovich–Kushner filter for a system with finite Peano series.
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页码：1946 / 1960
页数：14
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