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

DOI10.1016/J.APNUM.2019.08.021OpenAlexW2970759199WikidataQ127312780 ScholiaQ127312780MaRDI QIDQ2010245FDOQ2010245

Authors: Yanyan Li 

Publication date: 27 November 2019

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.08.021

zbMATH Keywords

continuous-discrete stochastic systemsquare-root unscented Kalman filterGauss-type nested implicit Runge-Kutta formula with local and global error controlssigma point differential equationsstochastic radar tracking model

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65Cxx)

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Cited In (10)

• Universal MATLAB‐based square‐root solutions in the family of continuous‐discrete Gaussian filters for state estimation in nonlinear stochastic dynamic systems
• Numerical solution of the neural field equation in the presence of random disturbance
• Variable-stepsize doubly quasi-consistent singly diagonally implicit two-step peer pairs for solving stiff ordinary differential equations
• Continuous-discrete unscented Kalman filtering framework by MATLAB ODE solvers and square-root methods
• Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter
• Overall hyperbolic-singular-value-decomposition-based square-root solutions in Kalman filters with deterministically sampled mean and covariance for state estimation in continuous-discrete nonlinear stochastic systems
• Nested implicit Runge-Kutta pairs of Gauss and Lobatto types with local and global error controls for stiff ordinary differential equations
• Square-root high-degree cubature Kalman filters for state estimation in nonlinear continuous-discrete stochastic systems
• Accuracy analysis of numerical simulations and noisy data assimilations in two-dimensional stochastic neural fields with infinite signal transmission speed
• NIRK-based mixed-type accurate continuous-discrete Gaussian filters with deterministically sampled expectation and covariance for state estimation in continuous-time stochastic process models with discrete measurements

Uses Software

• RODAS

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