A robust discrete state approximation to the optimal nonlinear filter for a diffusiont†
作者:
Harold J. Kushner,
期刊:
Stochastics
(Taylor Available online 1980)
卷期:
Volume 3,
issue 1-4
页码: 75-83
ISSN:0090-9491
年代: 1980
DOI:10.1080/17442507908833139
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A robust computable approximation to the nonlinear filtering problem for a diffusion model is treated, where the system and data models are given by. The approximation (with approximation parameter h) is robust in the sense that it is locally Lipschitz continuous in the data y( °) (sup norm) uniformly inhand, ash→0, it converges to the optimal filter for the diffusion.
点击下载:
PDF (310KB)
返 回