Kalaba, Robert E.; Spingarn, K.; Tesfatsion, Leigh

Journal of Optimization Theory and Applications Vol. 34 (1981): 541-559.

Exact equations are presented for sequentially updating the optimal solution for a discrete-time analog of the basic Sridhar nonlinear filtering problem as the process length increases and new observations are obtained. A tabular method is described for implementing numerically the sequential filtering equations. The accuracy and efficiency of the tabular method are illustrated by means of several numerical examples. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm

JEL Classification: C1, C3, C5

Keywords: Nonlinear filtering, Sridhar filtering, Kalman filtering