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A optimal discrete nonlinear arbitrary-order filter

  • Control in Stochastic Systems
  • Published:
Journal of Computer and Systems Sciences International Aims and scope

Abstract

It is proposed to synthesize a recurrent nonlinear filter of any given order chosen from the condition of obtaining online estimates in the course of measurements for estimation of a Markov random sequence. Optimality conditions for structural functions of the filter are obtained. The application of the gradient descent method is considered. Relations of this filter with the Stratonovich filter of an infinite order and a filter of optimal structure of an object order is established. Gaussian and linearized approximations to the optimal filter of an arbitrary order are constructed. An example is presented.

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Authors and Affiliations

  1. Moscow Aviation Institute (State University of Aerospace Technologies), Volokolamskoe sh. 4, Moscow, 125993, Russia

    E. A. Rudenko

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  1. E. A. Rudenko
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Original Russian Text © E.A. Rudenko, 2010, published in Izvestiya Akademii Nauk. Teoriya i Sistemy Upravleniya, 2010, No. 4, pp. 39–51.

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Rudenko, E.A. A optimal discrete nonlinear arbitrary-order filter. J. Comput. Syst. Sci. Int. 49, 548–559 (2010). https://doi.org/10.1134/S1064230710040052

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  • DOI: https://doi.org/10.1134/S1064230710040052

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