Filtering of distributed parameter systems with pointwise disturbances
Bensoussan, Alain; Lions, Jacques-Louis (1981), Filtering of distributed parameter systems with pointwise disturbances, Applied Mathematics and Optimization, 7, 1, p. 191-224. http://dx.doi.org/10.1007/BF01442116
TypeArticle accepté pour publication ou publié
Journal nameApplied Mathematics and Optimization
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Abstract (EN)We consider in this article a filtering problem for a linear distributed parameter system where the input disturbances are located in points instead of being distributed. The observation process is assumed to be distributed inside the domain. Although formally one can derive equations for the Kalman filter and the Riccati equation, the complete justification of these equations leads to problems which cannot be solved by standard methods, in the sense that some new functional spaces need to be introduced. The objective of the paper is to give a rigorous treatment of this nonclassical filtering problem, which is relevant for applications.
Subjects / Keywordsnonclassical filtering problem; linear distributed parameter system
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