Estimating the State in Stiff Continuous-Time Stochastic Systems within Extended Kalman Filtering

DOI10.1137/15M1039833zbMath1353.65009OpenAlexW2550717681MaRDI QIDQ2833532

No author found.

Publication date: 18 November 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1039833

zbMATH Keywords

extended Kalman filtermoment differential equationsstochastic Van der Pol oscillatoradaptive solvers with automatic local and global error controlscontinuous-discrete stochastic state-space systemnested implicit Runge-Kutta formula of order 6stiff stochastic differential equation of Itô type

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for stiff equations (65L04)

Related Items (15)

Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems ⋮ Accurate cubature and extended Kalman filtering methods for estimating continuous-time nonlinear stochastic systems with discrete measurements ⋮ Overall hyperbolic-singular-value-decomposition-based square-root solutions in Kalman filters with deterministically sampled mean and covariance for state estimation in continuous-discrete nonlinear stochastic systems ⋮ NIRK-based accurate continuous-discrete extended Kalman filters for estimating continuous-time stochastic target tracking models ⋮ New third- and fourth-order singly diagonally implicit two-step peer triples with local and global error controls for solving stiff ordinary differential equations ⋮ Variable-stepsize doubly quasi-consistent singly diagonally implicit two-step peer pairs for solving stiff ordinary differential equations ⋮ Square-root algorithms for maximum correntropy estimation of linear discrete-time systems in presence of non-Gaussian noise ⋮ On derivative-free extended Kalman filtering and its Matlab-oriented square-root implementations for state estimation in continuous-discrete nonlinear stochastic systems ⋮ Universal MATLAB‐based square‐root solutions in the family of continuous‐discrete Gaussian filters for state estimation in nonlinear stochastic dynamic systems ⋮ Accuracy analysis of numerical simulations and noisy data assimilations in two-dimensional stochastic neural fields with infinite signal transmission speed ⋮ Nested implicit Runge-Kutta pairs of Gauss and Lobatto types with local and global error controls for stiff ordinary differential equations ⋮ Numerical solution of the neural field equation in the presence of random disturbance ⋮ 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

Uses Software

• Matlab
• RODAS
• ode23
• ode45
• Ode15s
• ode113
• ode23s
• MATLAB ODE suite

Cites Work

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