Mean-square filter design for stochastic polynomial systems with Gaussian and Poisson noises

Abstract

This paper addresses the mean-square finite-dimensional filtering problem for polynomial system states with both, Gaussian and Poisson, white noises over linear observations. A constructive procedure is established to design the mean-square filtering equations for system states described by polynomial equations of an arbitrary finite degree. An explicit closed form of the designed filter is obtained in case of a third-order polynomial system. The theoretical result is complemented with an illustrative example verifying performance of the designed filter.