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A sequential method for nonlinear filtering: Numerical implementation and comparisons

  • R. Kalaba
  • K. Spingarn
  • L. Tesfatsion
Contributed Papers

Abstract

Exact equations are presented for sequentially updating the optimal solution for a discrete-time analog of the basic Sridhar nonlinear filtering problem as the process length increases and new observations are obtained. A tabular method is described for implementing numerically the sequential filtering equations. The accuracy and efficiency of the tabular method are illustrated by means of several numerical examples.

Key Words

Sridhar nonlinear filtering sequential solution numerical implementation 

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References

  1. 1.
    Bellman, R., Kagiwada, H., Kalaba, R., andSridhar, R.,Invariant Imbedding and Nonlinear Filtering Theory, Journal of the Astronautical Sciences, Vol. 13, pp. 110–115, 1966.Google Scholar
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    Detchmendy, D., andSridhar, R.,Sequential Estimation of States and Parameters in Noisy Nonlinear Dynamical Systems, Transactions of the ASME, pp. 362–368, 1966.Google Scholar
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    Kagiwada, H., Kalaba, R., Schumitsky, A., andSridhar, R.,Invariant Imbedding and Sequential Interpolating Filters for Nonlinear Processes, Journal of Basic Engineering, Vol. 91, pp. 195–200, 1969.Google Scholar
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    Sugisaka, M., andSagara, S.,A Nonlinear Filter with Higher-Order Weight Functions via Invariant Imbedding, International Journal of Control, Vol. 21, pp. 801–823, 1975.Google Scholar
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    Kalaba, R., andTesfatsion, L.,Exact Sequential Solutions for a Class of Discrete-Time Nonlinear Estimation Problems, IEEE Transactions on Automatic Control, to appear.Google Scholar
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    Kalaba, R., andTesfatsion, L.,A Least Squares Model Specification Test For a Class of Dynamic Nonlinear Economic Models with Systematically Varying Parameters, Journal of Optimization Theory and Applications, Vol. 32, pp. 538–567, 1980.Google Scholar

Copyright information

© Plenum Publishing Corporation 1981

Authors and Affiliations

  • R. Kalaba
    • 1
  • K. Spingarn
    • 2
  • L. Tesfatsion
    • 1
  1. 1.University of Southern CaliforniaLos Angeles
  2. 2.Space and Communications GroupHughes Aircraft CompanyLos Angeles

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