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The Estimation Algebra of Nonlinear Filtering Systems

In: Mathematical Control Theory

Author

Listed:
  • Wing Shing Wong
  • Stephen S. T. Yau

Abstract

The concept of an estimation algebra, introduced independently by Mitter and Brockett, provides an important research direction for nonlinear filtering theory. By interpreting the Duncan-Mortensen-Zakai equation or its robust form as a partial differential equation with time-vary ing parameters, one derives an approach to filtering that is based on Lie algebra as well as the theory of linear differential operators. Estimation algebra is at the crux of this approach. In this chapter, a survey is presented of some of the recent advances in estimation algebra and its applications to nonlinear filtering.

Suggested Citation

  • Wing Shing Wong & Stephen S. T. Yau, 1999. "The Estimation Algebra of Nonlinear Filtering Systems," Springer Books, in: J. Baillieul & J. C. Willems (ed.), Mathematical Control Theory, chapter 2, pages 33-65, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-1416-8_2
    DOI: 10.1007/978-1-4612-1416-8_2
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