Dynamic Observers as Asymptotic Limits of Recursive Filters: Special Cases

J.S. Baras, A. Bensoussan and M.R. James

SIAM Jounal on Applied Mathematics, Vol. 48, No. 5, pp. 1147-1158, October 1988.

Abstract

A method for constructing observers for dynamical systems as asymptotic limits of filters is described. The program is carried out in detail for linear systems, and in addition an observer is obtained for a class of systems with nonlinear dynamics and linear observations. The method is motivated by some large deviation results of Hijab for certain conditional measures.