Wiener Chaos and Nonlinear Filtering |
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Authors: | Istvan Gyongy Anton Shmatkov |
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Institution: | (1) Department of Mathematics, University of Southern California, Los Angeles, CA 90089, USA |
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Abstract: | The paper discusses two algorithms for solving the Zakai equation in the time-homogeneous diffusion filtering model with
possible correlation between the state process and the observation noise. Both algorithms rely on the Cameron-Martin version
of the Wiener chaos expansion, so that the approximate filter is a finite linear combination of the chaos elements generated
by the observation process. The coefficients in the expansion depend only on the deterministic dynamics of the state and observation
processes. For real-time applications, computing the coefficients in advance improves the performance of the algorithms in
comparison with most other existing methods of nonlinear filtering. The paper summarizes the main existing results about these
Wiener chaos algorithms and resolves some open questions concerning the convergence of the algorithms in the noise-correlated
setting. The presentation includes the necessary background on the Wiener chaos and optimal nonlinear filtering. |
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Keywords: | |
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