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

extended Kalman filtercubature Kalman filterunscented Kalman filteroptimal estimate of the state vector of stochastic systemItô-type stochastic differential equations with discrete measurements

Mathematics Subject Classification ID

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

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Cited in

(9)

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

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