A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems SIAM Journal on Control and Optimization Volume 38, Number 4 pp. A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems Francesco Carravetta, Alfredo Germani, Marat K. Shuakayev Abstract. The aim of this paper is to present a new approach to the filtering problem for the class of bilinear stochastic multivariable systems, consisting in searching for suboptimal state-estimates instead of the conditional statistics. As a first result, a finite-dimensional optimal linear filter for the considered class of systems is defined. Then, the more general problem of designing polynomial finite-dimensional filters is considered.
Numerical simulations show the effectiveness of the proposed filter.
Bucy filtering, polynomial filtering, vector Ito formula AMS Subject Classifications . 93E10, 93E11, 60H10 PII .