Mean-square filter design for stochastic polynomial systems with Gaussian and Poisson noises

Michael Basin and Pablo Rodriguez-Ramirez

International Journal of Systems Science, 2014, vol. 45, issue 7, 1473-1483

Abstract: This paper addresses the mean-square finite-dimensional filtering problem for polynomial system states with both, Gaussian and Poisson, white noises over linear observations. A constructive procedure is established to design the mean-square filtering equations for system states described by polynomial equations of an arbitrary finite degree. An explicit closed form of the designed filter is obtained in case of a third-order polynomial system. The theoretical result is complemented with an illustrative example verifying performance of the designed filter.

Date: 2014
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DOI: 10.1080/00207721.2013.827265

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