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Filtrage linéaire par morceaux avec petit bruit d'observation

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Abstract

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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  1. LMC/IMAG, BP 53, 38041, Grenoble Cedex 9, France

    M. C. Roubaud

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  1. M. C. Roubaud
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Roubaud, M.C. Filtrage linéaire par morceaux avec petit bruit d'observation. Appl Math Optim 32, 163–194 (1995). https://doi.org/10.1007/BF01185229

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