Accurate cubature and extended Kalman filtering methods for estimating continuous-time nonlinear stochastic systems with discrete measurements

DOI10.1016/J.APNUM.2016.09.015zbMATH Open1353.65008OpenAlexW2527811024MaRDI QIDQ338544FDOQ338544

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

Publication date: 7 November 2016

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2016.09.015

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zbMATH Keywords

extended Kalman filtercubature Kalman filteradaptive MDE solver with local and global error controlscontinuous-discrete stochastic systemGauss-type NIRKMazzoni's hybrid methodmoment differential equationsstochastic continuous-time target tracking model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (25)

• Efficient extended cubature Kalman filtering for nonlinear target tracking
• \textit{Continuous} discrete cubature quadrature Kalman filter
• Stable and efficient cubature rules by metaheuristic optimization with application to Kalman filtering
• Universal MATLAB‐based square‐root solutions in the family of continuous‐discrete Gaussian filters for state estimation in nonlinear stochastic dynamic systems
• Numerical methods for nonlinear filtering of signals and measurements
• NIRK-based Cholesky-factorized square-root accurate continuous-discrete unscented Kalman filters for state estimation in nonlinear continuous-time stochastic models with discrete measurements
• The accurate continuous-discrete extended Kalman filter for continuous-time stochastic systems
• Event-Triggered Discrete-Time Cubature Kalman Filter for Nonlinear Dynamical Systems With Packet Dropout
• Continuous-discrete filters for bearings-only underwater target tracking problems
• Numerical solution of the neural field equation in the presence of random disturbance
• Filtering method for linear and non-linear stochastic optimal control of partially observable systems
• High-gain extended Kalman filter for continuous-discrete systems with asynchronous measurements
• Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems
• The continuous-discrete extended Kalman filter revisited
• Variable-stepsize doubly quasi-consistent singly diagonally implicit two-step peer pairs for solving stiff ordinary differential equations
• NIRK-based accurate continuous-discrete extended Kalman filters for estimating continuous-time stochastic target tracking models
• SVD-based factored-form cubature Kalman filtering for continuous-time stochastic systems with discrete measurements
• Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter
• Overall hyperbolic-singular-value-decomposition-based square-root solutions in Kalman filters with deterministically sampled mean and covariance for state estimation in continuous-discrete nonlinear stochastic systems
• Nested implicit Runge-Kutta pairs of Gauss and Lobatto types with local and global error controls for stiff ordinary differential equations
• Square-root high-degree cubature Kalman filters for state estimation in nonlinear continuous-discrete stochastic systems
• Stable and Efficient Cubature-based Filtering in Dynamical Systems
• A new continuous-discrete particle filter for continuous-discrete nonlinear systems
• Cubature Kalman filters for nonlinear continuous-time fractional-order systems with uncorrelated and correlated noises
• NIRK-based mixed-type accurate continuous-discrete Gaussian filters with deterministically sampled expectation and covariance for state estimation in continuous-time stochastic process models with discrete measurements

Uses Software

• RODAS

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