The continuous kalman filter as the limit of the discrete kalman filter (Q4702159)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1367920
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The continuous kalman filter as the limit of the discrete kalman filter |
scientific article; zbMATH DE number 1367920 |
Statements
The continuous kalman filter as the limit of the discrete kalman filter (English)
0 references
18 May 2000
0 references
discretization
0 references
approximation
0 references
discrete filters
0 references
continuous Kalman filter
0 references
continuous filter
0 references
0 references
0.8308295011520386
0 references
0.7990764379501343
0 references
0.771686851978302
0 references
0.7707023620605469
0 references
The paper being reviewed contains a proof of the fact that the continuous Kalman filter, when discretized, produces a discrete filter whose solution converges, in the proper sense, to that of the continuous filter. The noise terms of the resulting discrete filter are always correlated, and convergence is almost sure for the estimates, and uniform for the error matrix. There is also an investigation of the limiting behaviour of the discrete filter system matrices.
0 references
