Browsing by Subject "Nonlinear filtering"
Now showing items 19 of 9

Article
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
(1997)This paper is concerned with partially observed stochastic optimal control problems when nonlinearities enter the dynamics of the unobservable state and the observations as gradients of potential functions. Explicit ...

Article
Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
(1998)This paper introduces certain nonlinear partially observable stochastic optimal control problems which are equivalent to completely observable control problems with finitedimensional state space. In some cases the optimal ...

Article
Conditional densities for continuoustime nonlinear hybrid systems with applications to fault detection
(1998)Continuoustime nonlinear stochastic differential state and measurement equations, all of which have coefficients capable of abrupt changes at a random time, are considered; finitestate jump Markov chains are used to model ...

Conference Object
Estimation and identification of timevarying longterm fading channels via the particle filter and the em algorithm
(2011)In this paper, we are concerned with the estimation and identification of timevarying wireless longterm fading channels. The dynamics of the fading channels are captured using a meanreverting linear stochastic differential ...

Article
Information states in stochastic control and filtering: a lie algebraic theoretic approach
(2000)The purpose of this paper is twofold: i) to introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistics, or information state, in the optimal control of stochastic systems and ...

Article
Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuoustime case
(2000)This paper is concerned with maximum likelihood (ML) parameter estimation of continuoustime nonlinear partially observed stochastic systems, via the expectation maximization (EM) algorithm. It is shown that the EM algorithm ...

Article
Necessary conditions of optimization for partially observed controlled diffusions
(1999)Necessary conditions are derived for stochastic partially observed control problems when the control enters the drift coefficient and correlation between signal and observation noise is allowed. The problem is formulated ...

Article
Optimal measurement strategy for nonlinear filtering
(2006)In this paper we consider the question of an optimal measurement strategy for nonlinear filtering. Given a set of measurement and observation options, the problem faced by a designer is to choose the option that gives the ...

Article
Stochastic nonlinear minimax filtering in continuoustime
(2001)This paper discusses nonlinear stochastic minimax games in which the minimizing player is the state estimate while the maximizing players are squareintegrable stochastic disturbances. A pathwise optimization method is ...