Accurate cubature and extended Kalman filtering methods for estimating continuous-time nonlinear stochastic systems with discrete measurements

DOI10.1016/j.apnum.2016.09.015zbMath1353.65008OpenAlexW2527811024MaRDI QIDQ338544

Mohammad Hasan, M. Dambrine

Publication date: 7 November 2016

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2016.09.015

zbMATH Keywords

extended Kalman filtercubature Kalman filteradaptive MDE solver with local and global error controlscontinuous-discrete stochastic systemGauss-type NIRKMazzoni's hybrid methodmoment differential equationsstochastic continuous-time target tracking model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (11)

Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems ⋮ 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 ⋮ Variable-stepsize doubly quasi-consistent singly diagonally implicit two-step peer pairs for solving stiff ordinary differential equations ⋮ Universal MATLAB‐based square‐root solutions in the family of continuous‐discrete Gaussian filters for state estimation in nonlinear stochastic dynamic systems ⋮ SVD-based factored-form cubature Kalman filtering for continuous-time stochastic systems with discrete measurements ⋮ 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 ⋮ NIRK-based Cholesky-factorized square-root accurate continuous-discrete unscented Kalman filters for state estimation in nonlinear continuous-time stochastic models with discrete measurements ⋮ Square-root high-degree cubature Kalman filters for state estimation in nonlinear continuous-discrete stochastic systems ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems

Uses Software

• RODAS

Cites Work

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