hal-00779573
https://enpc.hal.science/hal-00779573
[SDE] Sciences De l'Environnement
[AGROPARISTECH] AgroParisTech
[ENPC] Ecole des Ponts ParisTech
[ENGREF] Ecole Nationale du Génie Rural des Eaux et des Forêts
[PARISTECH] ParisTech
[GIP-BE] GIP Bretagne Environnement
Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
de Lara, Michel
[SDE] Environmental Sciences
ART
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
en
Mathematics of Control, Signals, and Systems
Springer Verlag