Approximate Solution of Nonlinear Filtering Problems by Direct Implementation of the Zakai Equation

Approximate Solution of Nonlinear Filtering Problems by Direct Implementation of the Zakai Equation

Title : Approximate Solution of Nonlinear Filtering Problems by Direct Implementation of the Zakai Equation
Authors :
Baras, John, S.
Conference : 20th IEEE Decision and Control Conference pp. 309-310
Date: December 01 - December 01, 1981

Numerical methods for the solution of the robust version of the Duncan-Mortensen-Zakai partial differential equation are considered. Both semidiscretization and complete discretization schemes are included. Direct implementation of such schemes via array processors is proposed as a design method for nonlinear filters. The importance of existence, uniqueness and tail behavior of solutions is related to properties of such implementations.

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