A Method of State Estimation for Stochastic Distributed Parameter Systems with Uncertainties on the Boundary

Abstract

The purpose of this paper is to solve the filtering problem for distributed parameter systems where system uncertainties exist on the system boundary. The mathematical model of the system is firstly described by a stochastic integral equation with values in Hilbert spaces.
Secondly, the nonlinear filter dynamics is derived with the aid of martingale representation technique. In order to realize the filter dynamics, an approximated version by invoking Gaussian assumptions is discussed.
Finally, for the purpose of supporting the theoretical development established here, digital simulation experiments are demonstrated.