Computational aspects of continuous-discrete extended Kalman-filtering (Q626232)
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scientific article; zbMATH DE number 5855599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computational aspects of continuous-discrete extended Kalman-filtering |
scientific article; zbMATH DE number 5855599 |
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Computational aspects of continuous-discrete extended Kalman-filtering (English)
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22 February 2011
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The author discusses computational efficient implementation of nonlinear extended continuous-discrete Kalman-Schmidt filtering procedures. A new Taylor-Heun-scheme is proposed for numerical integration of the corresponding differential equations. Its A-stability is demonstrated. A Gauss-Legendre approximation is used for the state error covariance. A technique of adaptive step size control is developed to minimize the computational effort. The algortitm performance is analyzed numerically for the Ornstein-Uhlenbeck process, Van der Poll-oscillator and the vertically falling body problem.
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nonlinear extended continuous-discrete Kalman-Schmidt filter
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A-stability
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Taylor-Heun scheme
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Gauss-Legendre approximation
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