Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering
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Publication:4957749
DOI10.1109/TAC.2020.3047367zbMath1471.93269OpenAlexW3113943345MaRDI QIDQ4957749
Roland Hostettler, Zheng Zhao, Simo Särkkä, Toni Karvonen
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
stochastic differential equationKalman filtering and smoothingGaussian filtering and smoothingcontinuous-discrete state-space modelTaylor moment expansion
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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