An exact equivalence between the discrete- and continuous-time formulations of the Kalman filter

DOI10.1016/0378-4754(78)90033-2zbMath0376.93032OpenAlexW2077813878MaRDI QIDQ1246501

K. Appert

Publication date: 1978

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(78)90033-2

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

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Solution of the differential Riccati equation using the transmission line modelling (TLM) technique ⋮ The relationship between a continuous-time identification algorithm based on the deterministic filter and least-squares methods ⋮ A Kalman filter type of extension to a deterministic gradient technique for parameter estimation ⋮ The continuous kalman filter as the limit of the discrete kalman filter ⋮ Optimal input design for aircraft stability and control flight testing ⋮ The Robustness ot the Fixed Point Smoothing Algorithm

Cites Work

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• Realtime digital integration for continuous Kalman filtering in nonlinear systems
• Kalman filtering simulation via numerical solution of the associated matrix differential equations

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