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 journalArticle

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 languageEnglish (US)
Pages (from-to)1929-1933
Number of pages5
JournalIEEE Transactions on Automatic Control
Volume44
Issue number10
DOIs
StatePublished - Oct 1 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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