SVD-based factored-form Cubature Kalman Filtering for continuous-time stochastic systems with discrete measurements

Automatica ◽

10.1016/j.automatica.2020.109110 ◽

2020 ◽

Vol 120 ◽

pp. 109110

Author(s):

Maria V. Kulikova ◽

Gennady Yu. Kulikov

Keyword(s):

Kalman Filtering ◽

Continuous Time ◽

Stochastic Systems

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

SIAM Journal on Scientific Computing ◽

10.1137/15m1039833 ◽

2016 ◽

Vol 38 (6) ◽

pp. A3565-A3588 ◽

Cited By ~ 25

Author(s):

G. Yu. Kulikov ◽

M. V. Kulikova

Keyword(s):

Kalman Filtering ◽

Continuous Time ◽

Stochastic Systems ◽

The State ◽

Extended Kalman Filtering

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

Applied Numerical Mathematics ◽

10.1016/j.apnum.2016.09.015 ◽

2017 ◽

Vol 111 ◽

pp. 260-275 ◽

Cited By ~ 27

Author(s):

G.Yu. Kulikov ◽

M.V. Kulikova

Keyword(s):

Kalman Filtering ◽

Continuous Time ◽

Stochastic Systems ◽

Extended Kalman Filtering ◽

Nonlinear Stochastic Systems

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Conditions of Almost Sure Boundedness and Practical Asymptotic Stability of Continuous-Time Stochastic Systems

IFAC-PapersOnLine ◽

10.1016/j.ifacol.2020.12.013 ◽

2020 ◽

Vol 53 (2) ◽

pp. 2261-2266

Author(s):

Kenta Hoshino ◽

Yûki Nishimura

Keyword(s):

Asymptotic Stability ◽

Continuous Time ◽

Stochastic Systems

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A LOOK AT A BILINEAR MODEL FOR MULTIDIMENSIONAL STOCHASTIC SYSTEMS IN CONTINUOUS TIME

Statistics & Risk Modeling ◽

10.1524/strm.1983.1.3.285 ◽

1983 ◽

Vol 1 (3) ◽

Author(s):

Alain Le Breton ◽

Marek Musiela

Keyword(s):

Continuous Time ◽

Stochastic Systems ◽

Bilinear Model

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Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters

IEEE Transactions on Automatic Control ◽

10.1109/9.780431 ◽

1999 ◽

Vol 44 (8) ◽

pp. 1592-1597 ◽

Cited By ~ 307

Author(s):

Peng Shi ◽

El.-K. Boukas ◽

R.K. Agarwal

Keyword(s):

Kalman Filtering ◽

Continuous Time ◽

Uncertain Systems ◽

Markovian Jumping Parameters ◽

Markovian Jumping

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Open-loop optimal control of a class of continuous-time stochastic systems—A simulation study†

International Journal of Control ◽

10.1080/00207177408932708 ◽

1974 ◽

Vol 19 (6) ◽

pp. 1165-1175 ◽

Cited By ~ 1

Author(s):

EDGAR C. TACKER ◽

THOMAS D. LINTON ◽

CHARLES W. SANDERS

Keyword(s):

Optimal Control ◽

Simulation Study ◽

Continuous Time ◽

Stochastic Systems ◽

Open Loop

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On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems

IEEE Transactions on Automatic Control ◽

10.1109/tac.2007.904453 ◽

2007 ◽

Vol 52 (9) ◽

pp. 1631-1641 ◽

Cited By ~ 300

Author(s):

Simo Sarkka

Keyword(s):

Nonlinear Systems ◽

State Estimation ◽

Kalman Filtering ◽

Continuous Time

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How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?

Computational Management Science ◽

10.1007/s10287-020-00380-7 ◽

2020 ◽

Author(s):

Januj Amar Juneja

Keyword(s):

Term Structure ◽

Kalman Filtering ◽

Continuous Time ◽

Affine Term Structure ◽

Filtering Algorithm ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Kalman Filtering Algorithm

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Identification of Continuous-time Time-varying Stochastic Systems via Distribution-based Approach

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications ◽

10.5687/sss.2002.69 ◽

2002 ◽

Vol 2002 (0) ◽

pp. 69-74

Author(s):

Akira Ohsumi ◽

Tsutomu Kawano

Keyword(s):

Continuous Time ◽

Stochastic Systems ◽

Time Varying

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ROBUST CONTINUOUS-TIME SMOOTHERS FOR BENEŠ AND PIECEWISE LINEAR STOCHASTIC SYSTEMS

IFAC Proceedings Volumes ◽

10.3182/20020721-6-es-1901.00664 ◽

2002 ◽

Vol 35 (1) ◽

pp. 67-72

Author(s):

Vikram Krishnamurthy ◽

Robert Elliott

Keyword(s):

Continuous Time ◽

Stochastic Systems ◽

Piecewise Linear ◽

Linear Stochastic Systems

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