A non-Markov finite dimensional filter

Robert J. Elliott, David D. Sworder, Thomas J. 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
PublisherPubl by Maple Press, Inc
Pages180-184
Number of pages5
ISBN (Print)0818624701
StatePublished - Dec 1 1991
Event25th Asilomar Conference on Signals, Systems & Computers Part 1 (of 2) - Pacific Grove, CA, USA
Duration: Nov 4 1991Nov 6 1991

Publication series

NameConference Record - Asilomar Conference on Circuits, Systems & Computers
Volume1
ISSN (Print)0736-5861

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. J. (1991). A non-Markov finite dimensional filter. In Conference Record - Asilomar Conference on Circuits, Systems & Computers (pp. 180-184). (Conference Record - Asilomar Conference on Circuits, Systems & Computers; Vol. 1). Publ by Maple Press, Inc.