Filtering with Degenerated Noise
Organizer
Speaker
Zeju Sun
Time
Wednesday, July 10, 2024 3:30 PM - 4:00 PM
Venue
理科楼A-304
Abstract
In some application scenarios, the state processes are not completely observable, with the non-existence of some components of the states in the observation process. Also, some components of the observation processes may be driven by the same source of noise. Both of the above cases will lead to filtering problems with degenerated noise. In this talk, we will focus on this kind of filtering systems. We will first derive the corresponding Kushner-Stratonovich equation for general nonlinear filtering systems. Next, we will derive the corresponding Kalman-Bucy filter for linear systems, and discuss the influence of noise degeneracy in numerical experiments.