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Article Dans Une Revue Mathematics of Control, Signals, and Systems Année : 1997

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

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Michel de Lara

Résumé

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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hal-00779573 , version 1 (22-01-2013)

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  • HAL Id : hal-00779573 , version 1

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