Issue |
ESAIM: COCV
Volume 4, 1999
|
|
---|---|---|
Page(s) | 609 - 630 | |
DOI | https://doi.org/10.1051/cocv:1999125 | |
Published online | 15 August 2002 |
On the Phase Portrait of the Fast Filtering Algorithms
Department of Mathematics, Stockholm University, 10691
Stockholm, Sweden;
yishao@matematik.su.se.
Received:
18
March
1999
Revised:
7
October
1999
Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation.
Résumé
Les algorithmes rapides de filtrage provenant du filtrage linéaire sont des systèmes dynamiques non linéaires dont les valeurs initiales sont les statistiques du processus d'observation. Dans ce papier, on donne une description assez complète du portrait de phase de ces systèmes dynamiques nonlinéaires, ainsi que d'une équation particulière de Riccati matricielle associée.
Mathematics Subject Classification: 93E11 / 93B27 / 58F40
Key words: Fast filtering algorithms / Riccati equations / Kalman filtering / nonlinear dynamical systems.
© EDP Sciences, SMAI, 1999
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