Optimal filtering of stochastic systems with state-dependent noises: The exact dynamics

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Title

Optimal filtering of stochastic systems with state-dependent noises: The exact dynamics

Content partner

Victoria University of Wellington

Collection

Open Access Victoria University of Wellington

Description

<p dir="ltr">This paper develops the exact dynamics for the optimal filtering of continuous-time (nonlinear) stochastic systems with state-dependent noises. They are derived based on the duality principle between maximum likelihood estimation and optimal control theory proposed in Surya (2024) as a generalization that of Mortensen (1968). The results show that the heteroskedasticity in the measurement noise changes both the dynamics of state estimator and the covariance matrix.

Format

Research paper

Research format

Scholarly text / Journal article

Date created

2024

Creator

Budhi Surya

URL

https://figshare.com/articles/preprint/Optimal_filtering_of_stochastic_systems_with_state-depende...

Related subjects

Engineering / Information and computing sciences / Mathematical sciences / Nonlinear filtering problems / Kalman-Bucy filtering

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