Real-time optimal filtering for stochastic systems with multiresolutional measurements

A real-time optimal filtering algorithm for stochastic systems with multiresolutional measurements is derived. The algorithm gives fused estimates based upon all available data at a particular time index. A multiresolutional distributed filtering scheme is employed. The wavelet transform is utilized as a bridge, effectively linking different resolution levels. A tree-like hierarchical data structure introduced in this paper facilitates the real-time multiresolutional filtering.