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IMA Journal of Mathematical Control and Information 1984 1(4):359-386; doi:10.1093/imamci/1.4.359
© 1984 by Institute of Mathematics and its Applications
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Nonlinear Filters and Operators and the Constant-Gain Extended Kalman Filter

M. J. GRIMBLE, K. A. JUKES and D. P. GOODALL

Industrial Control Unit, Department of Electronic and Electrical Engineering University of Strathclyde Glasgow, U.K.
Department of Computer Studies and Mathematics, Bristol Polytechnic Bristol, U.K.
Department of Mathematics and Computer Studies, Gloucestershire College of Arts and Technology Cheltenham, U.K.

Stochastic optimal control and estimation in nonlinear systems is considered using a function-space approach. A condition under which nonlinear estimators are nondivergent is determined and the stability of nonlinear systems which employ such estimators is established. The paper extends the contribution by Safanov and Athens and also offers alternative or more detailed proofs where their work is discussed. The results are valuable practically and applications are demonstrated in examples.


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