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A differential geometric approach to nonlinear filtering : the projection filter

Abstract : This paper deals with a new and systematic method of approximating exact nonlinear filters with finite dimensional filters. The method used here is based on the differential geometric approach to statistics. The projection filter is derived in the case of exponential families. A characterization of the filters is given in terms of an assumed density principle. An a posteriori measure of the performance of the projection filter is defined. Applications to particular systems, and numerical schemes which can be used to implement the projection filter are given in the final part. The results of simulations for the cubic sensor are discussed.
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https://hal.inria.fr/hal-02101519
Contributor : Francois Le Gland <>
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  • HAL Id : hal-02101519, version 1

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Damiano Brigo, Bernard Hanzon, François Le Gland. A differential geometric approach to nonlinear filtering : the projection filter. [Research Report] 2598, INRIA Rennes - Bretagne Atlantique. 1995. ⟨hal-02101519⟩

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