A differential geometric approach to nonlinear filtering: the projection filter
Brigo, Damiano ; Hanzon, Bernard ; Le Gland, François
HAL, hal-00912035 / Harvested from HAL
Text on HAL
This paper presents a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach to statistics. The projection filter is defined rigorously in the case of exponential families. A convenient exponential family is proposed which allows one to simplify the projection filter equation and to define an a posteriori measure of the local error of the projection filter approximation. Finally, simulation results are discussed for the cubic sensor problem.
Publié le : 1998-02-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00912035,
     author = {Brigo, Damiano and Hanzon, Bernard and Le Gland, Fran\c cois},
     title = {A differential geometric approach to nonlinear filtering: the projection filter},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00912035}
}

Brigo, Damiano; Hanzon, Bernard; Le Gland, François. A differential geometric approach to nonlinear filtering: the projection filter. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/hal-00912035/