Adaptive ODE solvers in extended Kalman filtering algorithms

DOI10.1016/J.CAM.2013.09.064zbMath1301.65062OpenAlexW2096403052MaRDI QIDQ2252364

G. Yu. Kulikov, M. V. Kulikova

Publication date: 17 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.09.064

zbMATH Keywords

extended Kalman filtermoment differential equationscontinuous-discrete modeladaptive ODE solversmazzoni's hybrid method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Related Items (6)

Estimation of nonlinear mixed‐effects continuous‐time models using the continuous‐discrete extended Kalman filter ⋮ Embedded symmetric nested implicit Runge-Kutta methods of Gauss and Lobatto types for solving stiff ordinary differential equations and Hamiltonian systems ⋮ Practical implementation of extended Kalman filtering in chemical systems with sparse measurements ⋮ Representing sudden shifts in intensive dyadic interaction data using differential equation models with regime switching ⋮ Estimating the State in Stiff Continuous-Time Stochastic Systems within Extended Kalman Filtering ⋮ A Singly Diagonally Implicit Two-Step Peer Triple with Global Error Control for Stiff Ordinary Differential Equations

Uses Software

• Matlab
• RODAS
• SDE Toolbox

Cites Work

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• Solving Ordinary Differential Equations II
• Various Ways to Compute the Continuous-Discrete Extended Kalman Filter
• Numerical Methods for Ordinary Differential Equations
• New developments in state estimation for nonlinear systems

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