Filtering of Nonlinear Stochastic Feedback Systems

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This paper concerns the filtering problem for a class of stochastic nonlinear systems where the drift term may depend either on some external function (open-loop system) or on the system output (closed-loop system), through a controller. Such systems are denoted feedback systems. The following result is proven: for feedback systems, the optimal filter in the open-loop case remains optimal when the feedback is closed.

Francesco Carravetta, Alfredo Germani, Robert Sh.

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Feedback Systems | Filtering Problem | SIAMCO 2002 | Stochastic Nonlinear Systems |

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Added	23 Dec 2010
Updated	23 Dec 2010
Type	Journal
Year	2002
Where	SIAMCO
Authors	Francesco Carravetta, Alfredo Germani, Robert Sh. Liptser, Costanzo Manes

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Filtering of Nonlinear Stochastic Feedback Systems

Feedback Systems | Filtering Problem | SIAMCO 2002 | Stochastic Nonlinear Systems |

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