On the Phase Portrait of the Fast Filtering Algorithms

Yishao Zhou

ESAIM: Control, Optimisation and Calculus of Variations (2010)

  • Volume: 4, page 609-630
  • ISSN: 1292-8119

Abstract

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Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation.

How to cite

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Zhou, Yishao. "On the Phase Portrait of the Fast Filtering Algorithms." ESAIM: Control, Optimisation and Calculus of Variations 4 (2010): 609-630. <http://eudml.org/doc/197372>.

@article{Zhou2010,
abstract = { Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation. },
author = {Zhou, Yishao},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
keywords = {Fast filtering algorithms; Riccati equations; Kalman filtering; nonlinear dynamical systems.; Kalman filtering; fast filtering algorithms; nonlinear dynamical systems; positivity conditions},
language = {eng},
month = {3},
pages = {609-630},
publisher = {EDP Sciences},
title = {On the Phase Portrait of the Fast Filtering Algorithms},
url = {http://eudml.org/doc/197372},
volume = {4},
year = {2010},
}

TY - JOUR
AU - Zhou, Yishao
TI - On the Phase Portrait of the Fast Filtering Algorithms
JO - ESAIM: Control, Optimisation and Calculus of Variations
DA - 2010/3//
PB - EDP Sciences
VL - 4
SP - 609
EP - 630
AB - Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation.
LA - eng
KW - Fast filtering algorithms; Riccati equations; Kalman filtering; nonlinear dynamical systems.; Kalman filtering; fast filtering algorithms; nonlinear dynamical systems; positivity conditions
UR - http://eudml.org/doc/197372
ER -

References

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