Nonlinear Filtering Asymptotics, Large Deviations and Observers for Nonlinear Systems

Nonlinear Filtering Asymptotics, Large Deviations and Observers for Nonlinear Systems

Title : Nonlinear Filtering Asymptotics, Large Deviations and Observers for Nonlinear Systems
Authors :
James, Matthew R
Baras, John, S.
Conference : 20th ISCIE Symposium on Stochastic Systems Theory and its Applications pp. 1-12
Date: November 01 - November 01, 1988

We present a methodology for the construction of the dynamic observers for nonlinear systems. The basic methodology used is to construct these observers as limits of nonlinear filters when certain noise parameters tend to zero. We, therefore, make contact with some interesting results on large derivations of filtered diffusion processes. Some examples illustrate the results.

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