Nonlinear Filter Representation via Spline Functions.

摘要

An optimum nonlinear filter is realized by sequentially updating the spline coefficients of the relevant conditional distribution. The nonlinear filtering problem considered is that of phase demodulation with a two-dimensional phase process model. A multi-dimensional hyperbolic and polynomial spline basis are generated by a tensor product of one-dimensional bases. General conclusions about the spline approach for higher dimensional problems will be drawn. In particular, general running time projections for N-dimensional problems will be provided. Some timing results for various methods of tri-diagonal matrix inversion are reviewed.