SparseWiener Chaos Approzimations of Zakai Equation for Nonlinear Filtering

摘要：

Sparse Wiener Chaos approximations of Zakai equation is considered. The objective is to optimize an approach to nonlinear filtering based on the Cameron-Martin version ofWiener Chaos Expansion(WCE). The error of the approximation is obtained. The main feature ofWiener chaos expansion is that it allows one to separate the computations involving the observations from those dealing only with the system parameters and to shift the latter off-line. The sparse truncation can reduce the number of the WCE coefficients dramatically while keeping the same asymptotic convergence rate as the simple truncation.

关键词： Nonlinear Filtering Zakai Equation Wiener Chaos Simple Truncation Sparse Truncation

作者: Jian Xu Jianxun Li

作者单位: Department of Automation, Shanghai Jiao Tong University, Shanghai, China 200240

会议类型: 国际会议

会议名称: 2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)

会议地点: 广西桂林

会议语种:英文

页码: 855-858

在线出版日期: 2009-06-17（万方平台首次上网日期，不代表论文的发表时间）