Impulse control in Kalman-like filtering problems. (1998)

• Record Type: Journal Article
• Authors: Basin, Michael V.; Pinsky, Mark A.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 11:Number 1(1998)
• Page Start: 1
• Page End: 8
• Publication Date: 1998
• Subjects: Kalman filtering -- impulse control -- stability analysis; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S104895339800001X
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : This paper develops the impulse control approach to the observation process in Kalman-like filtering problems, which is based on impulsive modeling of the transition matrix in an observation equation. The impulse control generates the jumps of the estimate variance from its current position down to zero and, as a result, enables us to obtain the filtering equations for the Kalman estimate with zero variance for all post-jump time moments. The filtering equations for the estimates with zero variances are obtained in the conventional linear filtering problem and in the case of scalar nonlinear state and nonlinear observation equations.