Singular perturbation, state aggregation and nonlinear filteringConsideration is given to a state process evolving in R(n), whose motion is that of a pure jump process in R(n) in the 0(1) time scale, upon which is superimposed a continuous motion along the orbits of a gradient-like vector field g in R(n) in the 0(1/epsilon) time scale. The infinitesimal generator of the state process is, in other words, of the form L + (1/epsilon)g. It follows from the main results presented that the projected filters converge to the finite state Wonham filter corresponding to the problem of estimating the finite state process in the presence of additive white noise.
Document ID
19830043523
Acquisition Source
Legacy CDMS
Document Type
Conference Proceedings
Authors
Hijab, O. (Case Western Reserve University Cleveland, OH, United States)
Sastry, S. (MIT Cambridge, MA, United States)
Date Acquired
August 11, 2013
Publication Date
January 1, 1981
Subject Category
Cybernetics
Meeting Information
Meeting: In: Conference on Decision and Control, 20th, and Symposium on Adaptive Processes