Observer matrix gain optimization for stochastic continuous time nonlinear systems

DOI10.1016/j.sysconle.2004.02.013zbMath1157.93333OpenAlexW2122291309MaRDI QIDQ2503636

Alexander S. Poznyak, Daishi Alfredo Murano, Alexander Nazin

Publication date: 21 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2004.02.013

zbMATH Keywords

Stochastic systemsNonlinear observersGain matrix optimization

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Observability (93B07) Stochastic systems in control theory (general) (93E03)

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• A receding horizon Kalman FIR filter for linear continuous-time systems
• On the optimal filtering of diffusion processes
• Robust high-gain observer for nonlinear closed-loop stochastic systems

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