State estimation for nonlinear continuous-discrete stochastic systems. Numerical aspects and implementation issues

DOI10.1007/978-3-031-61371-5MaRDI QIDQ6627952zbMATH OpenFDO

Authors G. Yu. Kulikov, M. V. Kulikova

Publication date 29 October 2024

Published in Studies in Systems, Decision and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-61371-5

Mathematics Subject Classification ID

Numerical integration (65D30) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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(3)

• 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
• Square-root information-type methods for continuous-discrete extended Kalman filtering
• Improved stochastic estimator of time-varying autoregressive models with heteroscedastic variance process and application

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