he Chapman-Kolmogorov equation and Bayes’ rule provide a conceptually simple solution to the discrete nonlinear filtering problem. Unfortunately these equations involve high order multiple integrals which are, in general, computationally intractable. Here we exploit recent results on an incremental form of the discrete nonlinear filter to develop a novel algorithm which is computationally straightforward at high sample rates.We illustrate performance by a two examples.
2010 American Control Conference (ACC2010). Proceedings of the 2010 American Control Conference (Baltimore, MD 30 June - 2 July, 2010) p. 1399-1403