ROBUST CONTINUOUS-TIME SMOOTHERS FOR BENEŠ AND PIECEWISE LINEAR STOCHASTIC SYSTEMS
Vikram Krishnamurthy* Robert Elliott**
* Department of Electrical and Electronic Engineering, University of Melbourne, Victoria 3010, Australia
** Faculty of Management, University of Calgary, Alberta, Canada T2N 1N4
We consider fixed-interval smoothing continuous-time partially observed Beneš systems and piecewise linear dynamical systems. Existing results for such smoothers require the use of two sided stochastic calculus. The main contribution of this paper is to present a robust formulation of the smoothing equations. Under this robust formulation, the smoothing equations are non-stochastic parabolic partial differential equations (with random coefficients) and hence the technical machinery associated with two sided stochastic calculus is not required. Furthermore, the robust smoothed state estimates are locally Lipschitz in the observations which is useful for numerical simulation.
Keywords: Nonlinear Filtering Theory, Stochastic Estimation, Maximum likelihood estimators
Session slot T-Tu-A07: Linear and Nonlinear Filtering/Area code 3d : Stochastic Systems

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