On Optimal Filtering for Polynomial System States

By Michael V. Basin. 2003

47 citations recorded by the source corpus.

Subfields: Aerospace Engineering, Artificial Intelligence, Control and Systems Engineering

View Paper: https://www.semanticscholar.org/paper/697d00872eb4289099b252fed8dcffb950961cd8

Citations in the corpus

• Rational Inattention and Portfolio Selection (2007, unknown): “Discretizing the continuous-time filtering equations derived by Basin (2003), we have the conditional mean dynamics:24 Mj+1 = Mj + (g0 + g1Mj + g2M 2 j )h + ( µ1 σS Vj + ρσX )√ hz1 + ανjVj √ hz3, and the conditional variance dynamics Vj+1 = Vj + ( 2g1Vj + 4g2MjVj + σ 2 X − ( µ1 σS Vj + ρσX )2 −…”