Optimal filtering with linear canonical transformations

Canonical forms of Linear Transformations

Coherent states and projective representation of the linear canonical transformations

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Asymptotically optimal filtering in linear systems with fractional Brownian noises

In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.

Optimal Linear Filtering with State and Observation Delays

In this paper, the optimal filtering problem for linear systems with state and observation delays is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate, error variance, and various error covariances. As a result, the optimal estimate equation similar to the traditional Kalman-Bucy one is derived; however, the resulting system of equations ...

Optimal Linear Unbiased Filtering with Polar Measurements for Target Tracking

In tracking applications, target dynamics is usually modeled in the Cartesian coordinates, while target measurements are directly available in the original sensor coordinates. Measurement conversion is widely used such that the Kalman filter in the Cartesian coordinates can be applied. A number of improved measurementconversion techniques have been proposed recently. However, they have fundamen...