Optimal filtering for polynomial system states with polynomial multiplicative noise

Abstract

AbstractIn this paper, the optimal filtering problem for polynomial system states with polynomial multiplicative noise over linear observations is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate and the error variance. As a result, the Ito differentials for the optimal estimate and error variance corresponding to the stated filtering problem are first derived. The procedure for obtaining a closed system of the filtering equations for any polynomial state with polynomial multiplicative noise over linear observations is then established, which yields the explicit closed form of the filtering equations in the particular cases of a linear state equation with linear multiplicative noise and a bilinear state equation with bilinear multiplicative noise. In the example, performance of the designed optimal filter is verified for a quadratic state with a quadratic multiplicative noise over linear observations against the optimal filter for a quadratic state with a state‐independent noise and a conventional extended Kalman–Bucy filter. Copyright © 2006 John Wiley & Sons, Ltd.