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

DOI10.1016/j.apnum.2016.09.015zbMath1353.65008MaRDI QIDQ338544

Mohammad Hasan, M. Dambrine

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

zbMATH Keywords

extended Kalman filter; cubature Kalman filter; adaptive MDE solver with local and global error controls; continuous-discrete stochastic system; Gauss-type NIRK; Mazzoni's hybrid method; moment differential equations; stochastic continuous-time target tracking model

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Uses Software

• RODAS