Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise

DOI10.1137/0151042MaRDI QIDQ3360765zbMATH OpenOpenAlexFDO

Authors Jean Picard

Publication date 1991

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/inria-00075491/file/RR-1068.pdf

zbMATH Keywords

Kalman filternonlinear filteringlinearization of stochastic systemsstochastic differentiation techniques

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Observability (93B07)

Recommendations

• Conditions for stability of the extended Kalman filter and their application to the frequency tracking problem
• scientific article; zbMATH DE number 4066758
• A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
• On nonlinear filtering problems for discrete time stochastic processes
• A novel extended Kalman filter for a class of nonlinear systems

Cited in

(24)

• An approximate filter for a partially observed piecewise linear system with small observation noise
• Limit behaviors of extended Kalman filter as a parameter estimator for a sinusoidal signal
• Volatility estimation of hidden Markov processes and adaptive filtration
• Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements
• An adaptive high-gain observer for nonlinear systems
• scientific article; zbMATH DE number 1822156 (Why is no real title available?)
• On the nice behaviour of the Gaussian projection filter with small observation noise
• High-gain extended Kalman filter for continuous-discrete systems with asynchronous measurements
• Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
• Adaptive observer-based output feedback control for two-wheeled self-balancing robot
• Asymptotic behavior of the forecast-assimilation process with unstable dynamics
• Piecewise linear filtering with small observation noise
• Nonlinear Filters and Operators and the Constant-Gain Extended Kalman Filter
• The detection and estimation of the change point in a disccrete-time stochastic system
• scientific article; zbMATH DE number 6542318 (Why is no real title available?)
• Estimation for stochastic differential equations with a small diffusion coefficient
• Biases and accuracy of, and an alternative to, discrete nonlinear filters
• Conditional expansions and their applications.
• On the convergence of the unscented Kalman filter
• Adaptive-gain observers and applications
• Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
• Conditions for stability of the extended Kalman filter and their application to the frequency tracking problem
• New results on the Gaussian projection filter with small observation noise
• Optimal total variation bounds for stochastic differential delay equations with small noises

This page was built for publication: Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3360765)