Computational aspects of continuous-discrete extended Kalman-filtering

DOI10.1007/S00180-007-0094-4zbMATH Open1224.62083OpenAlexW2171322001MaRDI QIDQ626232FDOQ626232

Thomas Mazzoni

Publication date: 22 February 2011

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-007-0094-4

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zbMATH Keywords

A-stabilityGauss-Legendre approximationnonlinear extended continuous-discrete Kalman-Schmidt filterTaylor-Heun scheme

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20)

Cites Work

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Cited In (20)

• Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering
• Practical implementation of extended Kalman filtering in chemical systems with sparse measurements
• Adaptive ODE solvers in extended Kalman filtering algorithms
• Accurate state estimation of stiff continuous-time stochastic models in chemical and other engineering
• On derivative-free extended Kalman filtering and its Matlab-oriented square-root implementations for state estimation in continuous-discrete nonlinear stochastic systems
• 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
• High-gain extended Kalman filter for continuous-discrete systems with asynchronous measurements
• A state predictor for continuous-time stochastic systems
• Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems
• The continuous-discrete extended Kalman filter revisited
• NIRK-based accurate continuous-discrete extended Kalman filters for estimating continuous-time stochastic target tracking models
• Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter
• State estimation incorporating infrequent, delayed and integral measurements
• Accurate cubature and extended Kalman filtering methods for estimating continuous-time nonlinear stochastic systems with discrete measurements
• Extended Kalman filter algorithm for continuous system parameter identification
• Fast continuous-discrete DAF-filters
• A new continuous-discrete particle filter for continuous-discrete nonlinear systems
• High-order accurate continuous-discrete extended Kalman filter for chemical engineering
• 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

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