Nonlinear filtering: a hybrid approximation scheme

摘要

This paper deals with nonlinear filtering schemes for systemswhich allow non-Gaussian noise. Using the most probable trajectory (MPT)approach, one derives a finite-dimensional recursive hybrid filteringscheme. By appropriately selecting a switching process, a linear hybridsystem can be obtained that approximates the original nonlinear system.Then the MPT approach is used to obtain the hybrid filtering schemes forthe nonlinear systems. Numerical experiments are carried out andreported in this paper