An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization

DOI10.1016/j.automatica.2008.05.029zbMath1154.93434OpenAlexW1986842884MaRDI QIDQ1000785

James V. Burke, Gianluigi Pillonetto, Bradley M. Bell

Publication date: 10 February 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2008.05.029

zbMATH Keywords

state estimationKalman filterfunction estimationinequality constrained systemsinterior point applications

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Related Items

Monotone Smoothing Splines using General Linear Systems, Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations, Generalized Kalman smoothing: modeling and algorithms, Conditioning truncated pluri-Gaussian models to facies observations in ensemble-Kalman-based data assimilation, Maximum a posteriori state path estimation: discretization limits and their interpretation, The Kalman-Bucy filter revisited, Fast robust methods for singular state-space models, A gain modification form for Kalman filtering under state inequality constraints

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