Filtering of Stochastic Systems

Book chapter (2021)

Authors

J.H. van Schuppen Mathematical Physics - EEMCS
Research Group
Mathematical Physics (EEMCS) (TU Delft)
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Published Date

2021

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Mathematical Physics

Abstract

Filter problems are formulated for stochastic systems which are not Gaussian systems. Both the estimation problem, the sequential estimation problem, and the filter problem are treated. A sufficient condition for the existence of a finite-dimensional filter system is formulated. The concept of a family of invariant conditional distributions is defined. It is described how to solve the filter problem by a measure transformation method. Cases treated include the Poisson–Gamma filter and the filter of an output-finite–state-finite stochastic system.

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