Numerical methods for nonlinear filtering of signals and measurements

MaRDI QIDQ2831985zbMATH OpenFDO

Authors M. V. Kulikova, G. Yu. Kulikov

Publication date 4 November 2016

Published in Vychislitel'nye Tekhnologii (Search for Journal in Brave)

Full work available at URL http://www.ict.nsc.ru/jct/t21n4/annotation/1744?l=eng

zbMATH Keywords

cubature Kalman filterextended Kalman filterItô-type stochastic differential equations with discrete measurementsoptimal estimate of the state vector of stochastic systemunscented Kalman filter

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(9)

• A quadrature-based method of moments for nonlinear filtering
• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• A review of NQR signal processing and analysis techniques
• Accurate cubature and extended Kalman filtering methods for estimating continuous-time nonlinear stochastic systems with discrete measurements
• scientific article; zbMATH DE number 4055522 (Why is no real title available?)
• Nonlinear aircraft tracking filter utilizing control variable estimation
• Numerical interpolations of analog and wave-ditigal elliptic filter parameters
• Optimal recurrent nonlinear filter of a large order for jump diffusion Markov signals

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