The exit problem in optimal non-causal extimation

Details The exit problem in optimal non-causal extimation The exit problem in optimal non-causal extimation

2008-02-04

arxiv.org/abs/0802.0414v1

Mathematics

Optimization and Control

Loss of lock in nonlinear smoothers

Scientific paper

We study the phenomenon of loss of lock in the optimal non-causal phase estimation problem, a benchmark problem in nonlinear estimation. Our method is based on the computation of the asymptotic distribution of the optimal estimation error in case the number of trajectories in the optimization problem is finite. The computation is based directly on the minimum noise energy optimality criterion rather than on state equations of the error, as is the usual case in the literature. The results include an asymptotic computation of the mean time to lose lock (MTLL) in the optimal smoother. We show that the MTLL in the first and second order smoothers is significantly longer than that in the causal extended Kalman filter.

Affiliated with

Also associated with

No associations

Rating

The exit problem in optimal non-causal extimation does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The exit problem in optimal non-causal extimation, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The exit problem in optimal non-causal extimation will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-237321