Continuous-discrete derivative-free extended Kalman filter based on Euler-Maruyama and Itô-Taylor discretizations: conventional and square-root implementations

DOI10.1016/j.ejcon.2024.100960arXiv2403.04448OpenAlexW4391364320MaRDI QIDQ6193302

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Publication date: 12 March 2024

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2403.04448

zbMATH Keywords

state estimationextended Kalman filterEuler-Maruyama methodItô-Taylor expansionderivative-free filterssquare-root filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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