A non-Markov finite dimensional filter

Robert J. Elliott, David D. Sworder, Thomas Taylor

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The state space of a general, not necessarily Markov, finite state space process is identified with the set of unit vectors in a Euclidean space. A filtering problem is considered where the observation process records only jumps between certain subsets of the states. A recursive equation for the filtered estimate of the state is obtained. If the transition rates are measurable with respect to the observations this filter is finite dimensional. The corresponding Zakai equation is also derived.

Original languageEnglish (US)
Title of host publicationConference Record - Asilomar Conference on Circuits, Systems & Computers
Place of PublicationSan Jose, CA, United States
PublisherPubl by Maple Press, Inc
Pages180-184
Number of pages5
Volume1
ISBN (Print)0818624701
StatePublished - 1991
Externally publishedYes
Event25th Asilomar Conference on Signals, Systems & Computers Part 1 (of 2) - Pacific Grove, CA, USA
Duration: Nov 4 1991Nov 6 1991

Other

Other25th Asilomar Conference on Signals, Systems & Computers Part 1 (of 2)
CityPacific Grove, CA, USA
Period11/4/9111/6/91

ASJC Scopus subject areas

  • Engineering(all)

Cite this

Elliott, R. J., Sworder, D. D., & Taylor, T. (1991). A non-Markov finite dimensional filter. In Conference Record - Asilomar Conference on Circuits, Systems & Computers (Vol. 1, pp. 180-184). San Jose, CA, United States: Publ by Maple Press, Inc.

A non-Markov finite dimensional filter. / Elliott, Robert J.; Sworder, David D.; Taylor, Thomas.

Conference Record - Asilomar Conference on Circuits, Systems & Computers. Vol. 1 San Jose, CA, United States : Publ by Maple Press, Inc, 1991. p. 180-184.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Elliott, RJ, Sworder, DD & Taylor, T 1991, A non-Markov finite dimensional filter. in Conference Record - Asilomar Conference on Circuits, Systems & Computers. vol. 1, Publ by Maple Press, Inc, San Jose, CA, United States, pp. 180-184, 25th Asilomar Conference on Signals, Systems & Computers Part 1 (of 2), Pacific Grove, CA, USA, 11/4/91.
Elliott RJ, Sworder DD, Taylor T. A non-Markov finite dimensional filter. In Conference Record - Asilomar Conference on Circuits, Systems & Computers. Vol. 1. San Jose, CA, United States: Publ by Maple Press, Inc. 1991. p. 180-184
Elliott, Robert J. ; Sworder, David D. ; Taylor, Thomas. / A non-Markov finite dimensional filter. Conference Record - Asilomar Conference on Circuits, Systems & Computers. Vol. 1 San Jose, CA, United States : Publ by Maple Press, Inc, 1991. pp. 180-184
@inproceedings{a71961c0368943a197800a2cb84d4198,
title = "A non-Markov finite dimensional filter",
abstract = "The state space of a general, not necessarily Markov, finite state space process is identified with the set of unit vectors in a Euclidean space. A filtering problem is considered where the observation process records only jumps between certain subsets of the states. A recursive equation for the filtered estimate of the state is obtained. If the transition rates are measurable with respect to the observations this filter is finite dimensional. The corresponding Zakai equation is also derived.",
author = "Elliott, {Robert J.} and Sworder, {David D.} and Thomas Taylor",
year = "1991",
language = "English (US)",
isbn = "0818624701",
volume = "1",
pages = "180--184",
booktitle = "Conference Record - Asilomar Conference on Circuits, Systems & Computers",
publisher = "Publ by Maple Press, Inc",

}

TY - GEN

T1 - A non-Markov finite dimensional filter

AU - Elliott, Robert J.

AU - Sworder, David D.

AU - Taylor, Thomas

PY - 1991

Y1 - 1991

N2 - The state space of a general, not necessarily Markov, finite state space process is identified with the set of unit vectors in a Euclidean space. A filtering problem is considered where the observation process records only jumps between certain subsets of the states. A recursive equation for the filtered estimate of the state is obtained. If the transition rates are measurable with respect to the observations this filter is finite dimensional. The corresponding Zakai equation is also derived.

AB - The state space of a general, not necessarily Markov, finite state space process is identified with the set of unit vectors in a Euclidean space. A filtering problem is considered where the observation process records only jumps between certain subsets of the states. A recursive equation for the filtered estimate of the state is obtained. If the transition rates are measurable with respect to the observations this filter is finite dimensional. The corresponding Zakai equation is also derived.

UR - http://www.scopus.com/inward/record.url?scp=0026292935&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0026292935&partnerID=8YFLogxK

M3 - Conference contribution

SN - 0818624701

VL - 1

SP - 180

EP - 184

BT - Conference Record - Asilomar Conference on Circuits, Systems & Computers

PB - Publ by Maple Press, Inc

CY - San Jose, CA, United States

ER -