Browsing by Subject "Nonlinear"
Now showing items 1-4 of 4
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Conference Object
Action functional stochastic H∞ estimation for nonlinear discrete time systems
(2002)This paper presents an action functional, sample path optimization technique, for formulating and solving nonlinear discrete-time stochastic H∞ estimation problems. These H∞ problems are formulated as minimax dynamic games ...
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Article
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
(1998)The optimal least-squares filtering of a diffusion x(t) from its noisy measurements {y(τ); 0 ≤ τ ≤ t} is given by the conditional mean E[x(t)\y(τ); 0 ≤ τ ≤ t]. When x(t) satisfies the stochastic diffusion equation dx(t) = ...
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Article
Nonlinear estimation for a class of systems
(2009)This paper considers nonlinear estimation problems for classes of models, and employs relative entropy to describe the uncertainty classes. Two optimization problems are formulated on general Banach spaces, and their ...
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Conference Object
Stochastic H∞-control of nonlinear discrete-time partially observable systems and dissipation inequalities
(2002)This paper employs an action functional approach to formulate partially observable nonlinear discrete-time stochastic minimax games. The maximizing players of the games are stochastic square summable disturbances, while ...