Abstract
A process with random transitions is represented by the difference equation x//n equals x//n// minus //1 plus u//n where u//n is a nonlinear function of a gaussian sequence w//n. The nonlinear function has a threshold that results in a finite probability of no failure at every step. Maximum likelihood estimation of the sequence X//n equals left brace x//0,. . . ,x//n right brace given a sequence of observations Y//n equals left brace y//1,. . . ,y//n right brace gives rise to a two point boundary-value (TPBV) problem, the solution of which is suggested by the analogy with a nonlinear electrical ladder network. Examples comparing the nonlinear filter that gives an approximate solution of the TPBV problem with a linear recursive filter are given, and show the advantages of the former.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 427-432 |
| Number of pages | 6 |
| Journal | Proceedings of the IEEE Conference on Decision and Control |
| State | Published - 1978 |
| Externally published | Yes |
| Event | Proc IEEE Conf Decis Control Incl Symp Adapt Processes 17th - San Diego, CA, USA Duration: Jan 10 1979 → Jan 12 1979 |
All Science Journal Classification (ASJC) codes
- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization