A quadrature-based method of moments for nonlinear filtering

DOI10.1016/j.automatica.2009.01.015zbMath1162.93040OpenAlexW2099825576MaRDI QIDQ1023157

Yunjun Xu, Prakash Vedula

Publication date: 10 June 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.01.015

zbMATH Keywords

stochastic differential equationestimationFokker-Planck equationnonlinear filteringfiltering algorithms

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

A transformed path integral approach for solution of the Fokker-Planck equation ⋮ A moment-based approach for nonlinear stochastic tracking control ⋮ A state predictor for continuous-time stochastic systems

Cites Work

• Stochastic processes and filtering theory
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• A nonlinear filtering algorithm based on an approximation of the conditional distribution
• Gaussian sum particle filtering

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