Informatics and Applications
2016, Volume 10, Issue 2, pp 24-35
ELLIPSOIDAL SUBOPTIMAL FILTERS FOR NONLINEAR STOCHASTIC SYSTEMS ON MANIFOLDS
- I. N. Sinitsyn
- V. I. Sinitsyn
- E. R. Korepanov
Abstract
For nonlinear differential stochastic systems on manifolds (MStS) with Wiener and Poisson noises, the synthesis theory of ellipsoidal suboptimal filters based on ellipsoidal approximation and ellipsoidal linearization methods is developed. Special attention is paid to MStS with additive non-Gaussian noises based on ellipsoidal linearization method. The algorithms are the basis of the experimental software tool "StS-Filter" (version 2016). Accuracy and sensitivity equations are presented. Some generalizations are mentioned.
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[+] About this article
Title
ELLIPSOIDAL SUBOPTIMAL FILTERS FOR NONLINEAR STOCHASTIC SYSTEMS ON MANIFOLDS
Journal
Informatics and Applications
2016, Volume 10, Issue 2, pp 24-35
Cover Date
2016-05-30
DOI
10.14357/19922264160203
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
ellipsoidal approximation method (EAM); ellipsoidal linearization method (ELM); orthogonal expansions method (OEM); Poisson noise; stochastic system on manifolds (MStS); suboptimal filter (SOF); Wiener noise
Authors
I. N. Sinitsyn  , V. I. Sinitsyn , and E. R. Korepanov
Author Affiliations
Institute of Informatics Problems, Federal Research Center “Computer Sciences and Control” of the Russian
Academy of Sciences, 44-2 Vavilov Str.,Moscow 119333, Russian Federation
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