A differential geometric approach to nonlinear filtering: the projection filter

Damiano Brigo 1, 2 Bernard Hanzon 1 François Le Gland 3
2 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
3 AS - Signal Processing and Control
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
Abstract : We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which allows one to simplify the projection filter equation, and to define an a posteriori measure of the performance of the projection filter
Type de document :
Communication dans un congrès
Proceedings of the 34th Conference on Decision and Control, New Orleans 1995, Dec 1995, New Orleans, United States. 4, pp.4006-4011, 1995, 〈10.1109/CDC.1995.479232〉
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https://hal.inria.fr/hal-00912037
Contributeur : Francois Le Gland <>
Soumis le : vendredi 20 décembre 2013 - 18:32:11
Dernière modification le : mercredi 16 mai 2018 - 11:23:13

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Damiano Brigo, Bernard Hanzon, François Le Gland. A differential geometric approach to nonlinear filtering: the projection filter. Proceedings of the 34th Conference on Decision and Control, New Orleans 1995, Dec 1995, New Orleans, United States. 4, pp.4006-4011, 1995, 〈10.1109/CDC.1995.479232〉. 〈hal-00912037〉

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