Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering

DOI10.1109/TAC.2020.3047367MaRDI QIDQ4957749zbMATH OpenOpenAlexFDO

Authors Zheng Zhao, Toni Karvonen, Roland Hostettler, Simo Särkkä

Publication date 9 September 2021

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2020.3047367

zbMATH Keywords

stochastic differential equationKalman filtering and smoothingGaussian filtering and smoothingcontinuous-discrete state-space modelTaylor moment expansion

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

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Cited in

(1)

• Deep state-space Gaussian processes

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