New Results in Sridhar Filtering Theory
Abstract A nonlinear adaptive filter is introduced and applied to the classical problem of detecting a sinusoidal signal, with unknown frequency, in white noise. The filter is basically a new result in what is known as Sridhar filtering theory. In the derivation of the filter, called the “Pontryagin filter”, the Pontryagin minimum principle and the method of invariant imbedding are used. The stability, bias and convergence properties are also studied and presented.