FIRST INTERNATIONAL SYMPOSIUM ON
IMPRECISE PROBABILITIES AND THEIR APPLICATIONS

Ghent, Belgium
30 June - 2 July 1999

ELECTRONIC PROCEEDINGS

John Kenney and Wynn Stirling

Nonlinear Filtering of Convex Sets of Probability Distributions

Abstract

A solution is provided to the problem of computing a convex set of conditional probability distributions that characterize the state of a nonlinear dynamic system as it evolves in time. The estimator uses the Galerkin approximation to solve Kolmogorov's equation for the diffusion of a continuous-time nonlinear system with discrete- time measurement updates. Fitering of the state is accomplished for a convex set of distributions simultaneously, and closed-form representations of the resulting sets of means and covariances are generated.

Keywords. nonlinear filtering, convex sets of distributions, set-valued estimation

The paper is available in the following formats and sites:

Authors addresses:

Electrical and Computer Engineering
Brigham Young University
Provo, UT 84602, USA

E-mail addresses:

John Kenney keney@ee.byu.edu, wynn@ee.byu.edu
Wynn Stirling


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