CONE-BOUNDED NONLINEARITIES AND MEAN-SQUARE BOUNDS—SMOOTHING AND PREDICTION BOUNDS

摘要

Mean-square performance bounds are derived for smoothing and prediction problems associated with a class of nonlinear dynamic systems. The systems considered are partially-observed finite dimensional continuous-time stochastic processes driven by additive white Gaussian noise. The particular systems to which the bounds apply are those which, when modeled by Ito differential equations, contain drift (.dt) coefficients which are, to within a uniformly Lipschitz residual, jointly linear in the system state and externally applied control. All the bounds are rigorously derived and independent of control or control law.