TITLE:
Conditionally Suboptimal Filtering in Nonlinear Stochastic Differential System
AUTHORS:
Tongjun He, Zhengping Shi
KEYWORDS:
Suboptimal Estimate, Conditionally Filter, Nonlinear Stochastic System
JOURNAL NAME:
Applied Mathematics,
Vol.2 No.6,
June
22,
2011
ABSTRACT: This paper presents a novel conditionally suboptimal filtering algorithm on estimation problems that arise in discrete nonlinear time-varying stochastic difference systems. The suboptimal state estimate is formed by summing of conditionally nonlinear filtering estimates that their weights depend only on time instants, in contrast to conditionally optimal filtering, the proposed conditionally suboptimal filtering allows parallel processing of information and reduce online computational requirements in some nonlinear stochastic difference system. High accuracy and efficiency of the conditionally suboptimal nonlinear filtering are demonstrated on a numerical example.