Impulse control in Kalman-like filtering problems

Michael V. Basin and Mark A. Pinsky

International Journal of Stochastic Analysis, 1998, vol. 11, 1-8

Abstract:

This paper develops the impulse control approach to the observation process in Kalman-like filtering problems, which is based on impulsive modeling of the transition matrix in an observation equation. The impulse control generates the jumps of the estimate variance from its current position down to zero and, as a result, enables us to obtain the filtering equations for the Kalman estimate with zero variance for all post-jump time moments. The filtering equations for the estimates with zero variances are obtained in the conventional linear filtering problem and in the case of scalar nonlinear state and nonlinear observation equations.

Date: 1998
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/11/623905.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/11/623905.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:623905

DOI: 10.1155/S104895339800001X

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().