Optimal Filters for Bilinear Systems with Nilpotent Lie Algebras.

reportActive / Technical Report | Accession Number: ADA062094 | Open PDF

Abstract:

We consider a bilinear signal process driven by a Gauss-Markov process which is observed in additive, white, gaussian noise. An exact stochastic differential equation for the least squares filter is derived when the Lit algebra associated with the signal process is nilpotent. It is shown that the filter is also bilinear and moreover that it satisfies an analogous nilpotency condition. Finally, some special cases and an example are discussed, indicating ways of reducing the filter dimensionality. Author

Author(s):
Chikte, Shirish D. ; Ting-ho Lo, James
Author Organization(s):
MARYLAND UNIV BALTIMORE COUNTY BALTIMORE DIV OF MATHEMATICS AND PHYSICS
Descriptive Note:
Research rept.,
Supplementary Note:
DOI: 10.21236/ADA062094
Pagination:
0033

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:
Approved For Public Release

RECORD

Collection: TR
Identifying Numbers
Report Number(s):
MRR-78-13, AFOSR-TR-78-1505
Contract/Grant Number(s):
AFOSR-74-2671
Task Number(s):
A1
Project Number(s):
2304
Monitor Series:
TR-78-1505
 Subject Terms
Joint Capability Areas:
JCA_5_Command and Control; JCA_1.2_Force Preparation; JCA_1_Force Support; JCA_5.3_Planning; JCA_1.2.3_Educating
Modernization Areas:
Space
Communities of Interest:
Materials and Manufacturing Processes
Descriptor(s):
*MATHEMATICAL FILTERS, *LIE GROUPS, OPTIMIZATION, ALGEBRA, GAUSSIAN NOISE, LEAST SQUARES METHOD, NONLINEAR ANALYSIS, MARKOV PROCESSES, BROWNIAN MOTION
Field(s)/Group(s):
Statistics and Probability
Keyword(s):
ITO processes, WUAFOSR2304A1, PE61102F
Report Date:
1978 Oct 01