Applied Mathematics and Optimization

, Volume 32, Issue 2, pp 163–194 | Cite as

Filtrage linéaire par morceaux avec petit bruit d'observation

  • M. C. Roubaud


Filtrage linéaire par morceaux Petit bruit d'observation Filtres approchés Filtre de Kalman-Bucy Test du rapport de vraisemblance 


We consider a piecewise linear filtering problem with small observation noise. In two different situations we construct an approximate finite-dimensional filter based on several Kalman-Bucy filters running in parallel and a procedure of tests. In the first case our work generalizes some results of Fleminget al. to more general piecewise linear dynamics.

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Copyright information

© Springer-Verlag New York Inc. 1995

Authors and Affiliations

  • M. C. Roubaud
    • 1
  1. 1.LMC/IMAGGrenoble Cedex 9France

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