Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems

DOI10.1016/j.automatica.2017.12.055zbMath1387.93161OpenAlexW2791362514MaRDI QIDQ1640718

Y. Aharonov

Publication date: 14 June 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2017.12.055

zbMATH Keywords

nonlinear filtersKalman filtersstochastic systemsestimation algorithms

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Stochastic stability in control theory (93E15)

Related Items (4)

Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter ⋮ Itô-Taylor-based square-root unscented Kalman filtering methods for state estimation in nonlinear continuous-discrete stochastic systems ⋮ NIRK-based Cholesky-factorized square-root accurate continuous-discrete unscented Kalman filters for state estimation in nonlinear continuous-time stochastic models with discrete measurements ⋮ Cauchy kernel-based maximum correntropy Kalman filter

Uses Software

• Matlab
• RODAS

Cites Work

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• Accurate cubature and extended Kalman filtering methods for estimating continuous-time nonlinear stochastic systems with discrete measurements
• Computational aspects of continuous-discrete extended Kalman-filtering
• Trees and numerical methods for ordinary differential equations
• NIRK-based accurate continuous-discrete extended Kalman filters for estimating continuous-time stochastic target tracking models
• Stochastic processes and filtering theory
• Estimating the State in Stiff Continuous-Time Stochastic Systems within Extended Kalman Filtering
• Accurate Numerical Implementation of the Continuous-Discrete Extended Kalman Filter
• Balthazar Van Der Pol
• A history of chemical oscillations and waves
• Cubature Kalman Filtering for Continuous-Discrete Systems: Theory and Simulations
• On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
• Various Ways to Compute the Continuous-Discrete Extended Kalman Filter

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