Accession Number : AD0687157

Title :   ON THE NONLINEAR FILTERING PROBLEM,

Corporate Author : MICHIGAN UNIV ANN ARBOR COMPUTER INFORMATION AND CONTROL ENGINEERING

Personal Author(s) : Duncan,Tyrone E.

Report Date : APR 1969

Pagination or Media Count : 20

Abstract : During the past decade research on filtering theory has centered around obtaining recursive methods to solve nonlinear filtering problems. The nonlinear filtering problem entailed more subtleties than did the linear problem and formal limits from discrete time to continuous time yielded results that were often at least ambiguous as to the interpretation of the 'white noise' integrals. One mathematical difficulty with the original work in nonlinear filtering was that the problem would be solved in discrete time and then there would be a (formal) passage to the limit. Even recent attempts to make this technique rigorous impose strong and difficult to verify mathematical conditions for the passage to the limit. We shall consider a 'continuous time' approach which seems to have been used first for the filtering problem by Mortensen. While obviously all the continuous time results can be obtained mathematically rigorously from a discrete time approach we shall see that much 'machinery' is available for the continuous time problem which will simplify the discussion. (Author)

Descriptors :   (*INFORMATION THEORY, NONLINEAR SYSTEMS), NOISE(RADIO), STOCHASTIC PROCESSES, DEMODULATION, ELECTRIC FILTERS

Subject Categories : Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE