Rank Deficiency of Kalman Error Covariance Matrices in Linear Time-Varying System With Deterministic Evolution

DOI10.1137/15M1025839zbMath1361.93062arXiv1503.05029OpenAlexW2319012342MaRDI QIDQ5347539

Alberto Carrassi, Amit Apte, Karthik S. Gurumoorthy, Christopher K. R. T. Jones, Colin J. Grudzien

Publication date: 24 May 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05029

zbMATH Keywords

covariance matrixKalman filterrankcontrol theorylinear dynamicsdata assimilation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Controllability (93B05) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Vector spaces, linear dependence, rank, lineability (15A03)

Related Items (4)

Asymptotic properties of linear filter for deterministic processes ⋮ Asymptotic Forecast Uncertainty and the Unstable Subspace in the Presence of Additive Model Error ⋮ Stability of non-linear filter for deterministic dynamics ⋮ Degenerate Kalman Filter Error Covariances and Their Convergence onto the Unstable Subspace

Uses Software

• EnKF

Cites Work

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• Stability of the Kalman filter for continuous time output error systems
• Geometry of Kalman filters
• Stochastic processes and filtering theory
• Long-Time Asymptotics of the Filtering Distribution for Partially Observed Chaotic Dynamical Systems
• Lyapunov vectors and assimilation in the unstable subspace: theory and applications
• Kalman Filtering with Random Coefficients and Contractions
• Deterministic Nonperiodic Flow
• The Geometry of Low-Rank Kalman Filters
• Data Assimilation

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