An efficient approximation of the Kalman filter for multiple systems coupled via low-dimensional stochastic input

DOI10.1016/J.AUTOMATICA.2020.108972zbMath1441.93315arXiv1911.10443OpenAlexW3015562664MaRDI QIDQ2184517

Leonid Pogorelyuk, N. Jeremy Kasdin, Clarence W. Rowley

Publication date: 29 May 2020

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.10443

zbMATH Keywords

computational methodsKalman filtersorder reductionefficient algorithmstelescopes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Application models in control theory (93C95) System structure simplification (93B11)

Cites Work

• Norms and exclusion theorems
• Optimal estimation of linear discrete-time systems with stochastic parameters
• Multi-sensor optimal information fusion Kalman filter
• Reduced-order estimation Part 1. Filtering
• The difference periodic Ricati equation for the periodic prediction problem
• An interlaced extended Kalman filter

This page was built for publication: An efficient approximation of the Kalman filter for multiple systems coupled via low-dimensional stochastic input