Abstract
The synthesis problem of an optimal nonlinear observer of a stochastic process is formulated and solved as a problem of vector formation of series-expansion coefficients in a nonlinear observation function to minimize the given functional of the a posteriori density of the observed process. An example of practical synthesis of a vector for optimal control of a nonlinear stochastic observation process is presented.
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Additional information
Rostov-on-Don. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 38, No. 11, pp. 1213–1224, November, 1995.
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Sokolov, S.V. On the synthesis problem for optimal control of a nonlinear stochastic observation process. Radiophys Quantum Electron 38, 792–799 (1995). https://doi.org/10.1007/BF01047080
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DOI: https://doi.org/10.1007/BF01047080