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Modified quasilinear filtering method for estimation of processes in multidimensional nonlinear stochastic systems. (English) Zbl 0927.93052
The authors propose a method, named the modified quasilinear filtering method (MQLF), to produce more accurate filter coefficients than the known quasilinear filtering method (QLF). The MQLF method connects the simple realization of quasilinear filters in real time with high accuracy. Therefore, the MQLF method can be used for control problems of high dimensional systems. Both the QLF and the MQLF method are based on the statistical linearization of nonlinear functions of the original system. In contrast to the (QLF), which assumes a normal distribution of the state vector, the MQLF method works with a parameterization of the distribution of the state vector. An example illustrates the results.
MSC:
93E11 Filtering in stochastic control theory
93C10 Nonlinear systems in control theory
93A15 Large-scale systems
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References:
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