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Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering

Abstract : Finite-dimensional estimation Lie algebras play a crucial role in the study of finite-dimensional filters for partially observed stochastic process. When the dynamics noise is Gaussian we can characterize the so-called estimation Lie algebras with maximal rank in terms of the observation functions (necessarily affine) and the drift (necessarily a sum of a skew-symmetric linear term and a gradient vector field, with a functional relationship), under the assumption that the estimation algebra has one and only one operator of order greater or equal to two in any of its basis.
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Soumis le : mardi 22 janvier 2013 - 12:51:05
Dernière modification le : mercredi 20 novembre 2019 - 14:00:04

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  • HAL Id : hal-00779573, version 1

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M. Cohen de Lara. Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering. Mathematics of Control, Signals, and Systems, Springer Verlag, 1997, 10 (3), pp.237. ⟨hal-00779573⟩

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