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A differential geometric approach to nonlinear filtering: the projection filter

Damiano Brigo 1, 2 Bernard Hanzon 2 François Le Gland 1
1 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
Abstract : 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.
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https://hal.inria.fr/hal-00912035
Contributor : Francois Le Gland <>
Submitted on : Friday, December 20, 2013 - 6:36:39 PM
Last modification on : Tuesday, June 15, 2021 - 4:22:11 PM

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Damiano Brigo, Bernard Hanzon, François Le Gland. A differential geometric approach to nonlinear filtering: the projection filter. IEEE Transactions on Automatic Control, Institute of Electrical and Electronics Engineers, 1998, AC--43 (2), pp.247-252. ⟨10.1109/9.661075⟩. ⟨hal-00912035⟩

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