Multi-time method for large-scale filtering

Abstract

In this paper we consider a multi-time-scale singularly perturbed linear filtering problem. The main goal is to study the convergence of the solution of the reduced-order filters to different modes of high-order filters. This is accomplished by using a completely decoupled auxiliary system. A near-optimal solution to the filtering problem reduces to the solution of three lower-order filtering problems in three different time-scales.