On the adaptive stabilization and ergodic behaviour of stochastic systems with jump-Markov parameters via nonlinear filtering

2005 ◽  
pp. 185-215 ◽  
Author(s):  
Peter E. Caines ◽  
Karim Nassiri-Toussi
Keyword(s):  
Nonlinear Filtering ◽  
Stochastic Systems ◽  
Adaptive Stabilization ◽  
Markov Parameters ◽  
Ergodic Behaviour

The accurate continuous-discrete extended Kalman filter for continuous-time stochastic systems

2015 ◽  
Vol 30 (4) ◽  
Author(s):  
Gennady Yu. Kulikov ◽  
Maria V. Kulikova
Keyword(s):  
Kalman Filter ◽  
Extended Kalman Filter ◽  
Nonlinear Filtering ◽  
Stochastic Systems ◽  
Total Error ◽  
Stochastic Dynamic ◽  
Extended Kalman Filtering ◽  
New Approach ◽  
Error Covariance ◽  
The Moment

AbstractThis paper elaborates a new approach to nonlinear filtering based on an accurate implementation of the continuous-discrete extended Kalman filter. It implies that the moment differential equations for calculating the predicted state mean of stochastic dynamic system and the corresponding error covariance matrix are solved accurately, i.e. with negligible error. The latter allows the total error of the extended Kalman filter to be reduced significantly and results in a new Accurate Continuous-Discrete Extended Kalman Filtering method. The developed technique is compared theoretically and numerically with other implementations of the extended Kalman filter to conform its outstanding performance on test examples.

scholarly journals Nonlinear filtering for stochastic systems with fixed delay: Approximation by a modified Milstein scheme

2011 ◽  
Vol 61 (9) ◽  
pp. 2498-2509 ◽  
Author(s):  
Antonella Calzolari ◽  
Patrick Florchinger ◽  
Giovanna Nappo
Keyword(s):  
Nonlinear Filtering ◽  
Stochastic Systems ◽  
Milstein Scheme ◽  
Fixed Delay

scholarly journals NONLINEAR FILTERING TOOLBOX FOR CONTINUOUS STOCHASTIC SYSTEMS WITH DISCRETE MEASUREMENTS

2006 ◽  
Vol 39 (6) ◽  
pp. 422-427
Author(s):  
Jaroslav Ŝvácha ◽  
Miroslav Ŝimandl ◽  
Ondrej Straka ◽  
Miroslav Flídr
Keyword(s):  
Nonlinear Filtering ◽  
Stochastic Systems
Sign in / Sign up

Export Citation Format

Share Document