Exact filters for certain moments and stochastic integrals of the state of systems with Beneš nonlinearity

Robert J. Elliott; Vikram Krishnamurthy; H. Vincent Poor

doi:10.1109/9.793739

Exact filters for certain moments and stochastic integrals of the state of systems with Beneš nonlinearity

Robert J. Elliott, Vikram Krishnamurthy, H. Vincent Poor

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

Finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to compute maximum likelihood estimates of the model parameters.

Original language	English (US)
Pages (from-to)	1929-1933
Number of pages	5
Journal	IEEE Transactions on Automatic Control
Volume	44
Issue number	10
DOIs	https://doi.org/10.1109/9.793739
State	Published - Oct 1999

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

Keywords

Beneš filter
Expectation maximization algorithm
Finite-dimensional filters
Parameter estimation
stochastic systems

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10.1109/9.793739

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title = "Exact filters for certain moments and stochastic integrals of the state of systems with Bene{\v s} nonlinearity",

abstract = "Finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to compute maximum likelihood estimates of the model parameters.",

keywords = "Bene{\v s} filter, Expectation maximization algorithm, Finite-dimensional filters, Parameter estimation, stochastic systems",

author = "Elliott, {Robert J.} and Vikram Krishnamurthy and Poor, {H. Vincent}",

note = "Funding Information: Manuscript received April 3, 1997. Recommended by Associate Editor, T. E. Duncan. The work of R. J. Elliott was supported by NSERC under Grant A7964. The work of V. Krishnamurthy was supported by an ARC Grant, ATERB Grant, and the Cooperative Research Center for Sensor Signal and Information Processing. The work of H. V. Poor was supported by the US Office of Naval Research under Grant N00014-94-1-0115.",

year = "1999",

month = oct,

doi = "10.1109/9.793739",

language = "English (US)",

volume = "44",

pages = "1929--1933",

journal = "IEEE Transactions on Automatic Control",

issn = "0018-9286",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

number = "10",

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TY - JOUR

T1 - Exact filters for certain moments and stochastic integrals of the state of systems with Beneš nonlinearity

AU - Elliott, Robert J.

AU - Krishnamurthy, Vikram

AU - Poor, H. Vincent

N1 - Funding Information: Manuscript received April 3, 1997. Recommended by Associate Editor, T. E. Duncan. The work of R. J. Elliott was supported by NSERC under Grant A7964. The work of V. Krishnamurthy was supported by an ARC Grant, ATERB Grant, and the Cooperative Research Center for Sensor Signal and Information Processing. The work of H. V. Poor was supported by the US Office of Naval Research under Grant N00014-94-1-0115.

PY - 1999/10

Y1 - 1999/10

N2 - Finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to compute maximum likelihood estimates of the model parameters.

AB - Finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to compute maximum likelihood estimates of the model parameters.

KW - Beneš filter

KW - Expectation maximization algorithm

KW - Finite-dimensional filters

KW - Parameter estimation

KW - stochastic systems

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JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 10

ER -

Exact filters for certain moments and stochastic integrals of the state of systems with Beneš nonlinearity

Abstract

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