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Conference Papers Year : 1995

A differential geometric approach to nonlinear filtering: the projection filter

Abstract

We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which allows one to simplify the projection filter equation, and to define an a posteriori measure of the performance of the projection filter
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hal-00912037 , version 1 (20-12-2013)

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Damiano Brigo, Bernard Hanzon, François Le Gland. A differential geometric approach to nonlinear filtering: the projection filter. Proceedings of the 34th Conference on Decision and Control, New Orleans 1995, IEEE--CSS, Dec 1995, New Orleans, United States. pp.4006-4011, ⟨10.1109/CDC.1995.479232⟩. ⟨hal-00912037⟩
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