HAL CCSD
Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
de Lara, Michel
CERGRENE (CERGRENE) ; Ecole Nationale du Génie Rural, des Eaux et des Forêts (ENGREF)-École des Ponts ParisTech (ENPC)
International audience
ISSN: 0932-4194
EISSN: 1435-568X
Mathematics of Control, Signals, and Systems
Springer Verlag
hal-00779573
https://enpc.hal.science/hal-00779573
https://enpc.hal.science/hal-00779573
Mathematics of Control, Signals, and Systems, 1997, 10 (3), pp.237
en
[SDE]Environmental Sciences
info:eu-repo/semantics/article
Journal articles
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.
1997