Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter (Q2238819)

scientific article

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English	Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter	scientific article

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instance of

scholarly article

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title

Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter (English)

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author

Yanyan Li

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published in

Applied Numerical Mathematics

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publication date

2 November 2021

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zbMATH Keywords

cubature Kalman filter

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square-root filtering

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singular value decomposition

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ordinary differential questions solvers

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describes a project that uses

RODAS

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.apnum.2021.08.013

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cites work

Cubature Kalman Filters

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Cubature Kalman Filtering for Continuous-Discrete Systems: Theory and Simulations

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Numerical Methods for Ordinary Differential Equations

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Generalizing global error estimation for ordinary differential equations by using coupled time-stepping methods

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Extension of square-root filtering to include process noise

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Various Ways to Compute the Continuous-Discrete Extended Kalman Filter

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An efficient family of strongly \(A\)-stable Runge-Kutta collocation methods for stiff systems and DAEs. I: Stability and order results

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An efficient family of strongly A-stable Runge-Kutta collocation methods for stiff systems and DAEs. II: Convergence results

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Kalman Filtering

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Kalman Filter Implementation With Improved Numerical Properties

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Q4714145

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Q3562881

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Stochastic processes and filtering theory

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A survey of numerical methods for stochastic differential equations

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Cheap global error estimation in some Runge-Kutta pairs

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Nested implicit Runge-Kutta pairs of Gauss and Lobatto types with local and global error controls for stiff ordinary differential equations

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Accurate Numerical Implementation of the Continuous-Discrete Extended Kalman Filter

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

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Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems

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

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Accurate State Estimation in Continuous-Discrete Stochastic State-Space Systems With Nonlinear or Nondifferentiable Observations

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Accurate state estimation of stiff continuous-time stochastic models in chemical and other engineering

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Numerical robustness of extended Kalman filtering based state estimation in ill‐conditioned continuous‐discrete nonlinear stochastic chemical systems

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NIRK-based Cholesky-factorized square-root accurate continuous-discrete unscented Kalman filters for state estimation in nonlinear continuous-time stochastic models with discrete measurements

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Variable-Stepsize Interpolating Explicit Parallel Peer Methods with Inherent Global Error Control

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Global error estimation and control in linearly-implicit parallel two-step peer W-methods

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A Singly Diagonally Implicit Two-Step Peer Triple with Global Error Control for Stiff Ordinary Differential Equations

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Variable-stepsize doubly quasi-consistent singly diagonally implicit two-step peer pairs for solving stiff ordinary differential equations

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SVD-based factored-form cubature Kalman filtering for continuous-time stochastic systems with discrete measurements

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Computational aspects of continuous-discrete extended Kalman-filtering

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Square root filtering via covariance and information eigenfactors

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

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Parallel Two-Step W-Methods with Peer Variables

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Multi-implicit peer two-step W-methods for parallel time integration

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SVD-Based Kalman Filter Derivative Computation

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Local and global error estimation and control within explicit two-step peer triples

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New third- and fourth-order singly diagonally implicit two-step peer triples with local and global error controls for solving stiff ordinary differential equations

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Variable-stepsize doubly quasi-consistent parallel explicit peer methods with global error control

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Superconvergent explicit two-step peer methods

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Identifiers

zbMATH Open document ID

1482.65008

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DOI

10.1016/j.apnum.2021.08.013

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2238819