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Fixed interval smoothing for nonlinear continuous time systems

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Date

1972

Authors

Anderson, Brian D.O.

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Research Projects

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Abstract

An equation is derived for the probability density of the state of a nonlinear dynamical system, conditioned on measurements over a fixed interval. In deriving the equation, the conditional Fokker Planck equation yielding the probability density of the filtering problem is used several times in a novel way.

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https://hdl.handle.net/1885/733802972

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ANU Research Publications

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Information and control

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Journal article

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DOI

10.1016/S0019-9958(72)90451-2

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