Filtering of Stochastic Systems
Book Chapter
(2021)
Author(s)
Jan H. van Schuppen (TU Delft - Electrical Engineering, Mathematics and Computer Science)
Research Group
Mathematical Physics
DOI related publication
https://doi.org/10.1007/978-3-030-66952-2_9
Final published version
To reference this document use
https://resolver.tudelft.nl/uuid:497bfa07-95ac-4af0-ba61-75bad89d1152
More Info
expand_more
expand_more
Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
327-373
Publisher
Springer
ISBN (electronic)
078-0-030-66952-9
Downloads counter
109
Abstract
Filter problems are formulated for stochastic systems which are not Gaussian systems. Both the estimation problem, the sequential estimation problem, and the filter problem are treated. A sufficient condition for the existence of a finite-dimensional filter system is formulated. The concept of a family of invariant conditional distributions is defined. It is described how to solve the filter problem by a measure transformation method. Cases treated include the Poisson–Gamma filter and the filter of an output-finite–state-finite stochastic system.