Accession Number : ADP006626

Title :   Classification of Finite Dimensional Filters from Lie Algebraic Point of View,

Corporate Author : ILLINOIS UNIV AT CHICAGO CIRCLE DEPT OF MATHEMATICS STATISTICS AND COMPUTER SC IENCE

Personal Author(s) : Yau, Stephen S. T.

Report Date : MAR 1992

Pagination or Media Count : 8

Abstract : Ever since the technique of the Kalman-Bucy filter was popularized, there has been an intense interest in finding new classes of finite dimensional recursive filters. In the late seventies, the concept of the estimation algebra of a filtering system was introduced. It has proven to be an invaluable tool in the study of nonlinear filtering problems. In 1990, the present author considered a general class of nonlinear filtering systems which include both Kalman-Bucy filtering systems and Benes filtering systems as special cases. A simple algebraic necessary and sufficient condition was established for an estimation algebra of this class of filtering systems to be finite dimensional. Consequently the present author has rigorously constructed a new class of finite dimensional filters which include both Kalman-Bucy filters and Bene's filters as special cases. In 1991, Chiou and the present author have shown that the above new class of finite dimensional filters are the most general filters from Lie algebraic point of view.

Descriptors :   *KALMAN FILTERING, *MATHEMATICAL FILTERS, ALGEBRA, FILTERS, FILTRATION, RECURSIVE FILTERS, TOOLS, CLASSIFICATION.

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE