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A Bayesian approach to problems in stochastic estimation and control
Abstract
In this paper, a general class of stochastic estimation and control problems is formulated from the Bayesian Decision-Theoretic viewpoint. A discussion as to how these problems can be solved step by step in principle and practice from this approach is presented. As a specific example, the closed form Wiener-Kalman solution for linear estimation in Gaussian noise is derived. The purpose of the paper is to show that the Bayesian approach provides; 1) a general unifying framework within which to pursue further researches in stochastic estimation and control problems, and 2) the necessary computations and difficulties that must be overcome for these problems. An example of a nonlinear, non-Gaussian estimation problem is also solved.
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Citations
Cited by
Arasaratnam, I., & Haykin, S. (2009) · IEEE Transactions on Automatic Control · doi:10.1109/tac.2009.2019800 · Cited by 3,380
The Gaussian Mixture Probability Hypothesis Density Filter
Vo, B.-N., & Ma, W.-K. (2006) · IEEE Transactions on Signal Processing · doi:10.1109/tsp.2006.881190 · Cited by 1,919
Cubature Kalman Filtering for Continuous-Discrete Systems: Theory and Simulations
Arasaratnam, I., Haykin, S., & Hurd, T. R. (2010) · IEEE Transactions on Signal Processing · doi:10.1109/tsp.2010.2056923 · Cited by 580
Approximate non-Gaussian filtering with linear state and observation relations
Masreliez, C. (1975) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1975.1100882 · Cited by 369
Joint attack detection and secure state estimation of cyber‐physical systems
Forti, N., Battistelli, G., Chisci, L., & Sinopoli, B. (2020) · International Journal of Robust and Nonlinear Control · doi:10.1002/rnc.4724 · Cited by 29
Metadata
- Authors
- Ho, Y., & Lee, R.
- Venue
- IEEE Transactions on Automatic Control
- Published
- 1964-10
- Volume
- 9
- Issue
- 4
- Pages
- 333-339
- ISSN
- 0018-9286 (ISSN-L)
- OpenAlex
- W2036323349
- Cited by
- 638
- References
- 0
- FWCI
- 13.75
- Type
- journal article
- Language
- en
- Open access
- closed
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- Ho, Y., & Lee, R. (1964). A Bayesian approach to problems in stochastic estimation and control. IEEE Transactions on Automatic Control. https://doi.org/10.1109/tac.1964.1105763
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