NIRK-based Cholesky-factorized square-root accurate continuous-discrete unscented Kalman filters for state estimation in nonlinear continuous-time stochastic models with discrete measurements

This paper further advances the idea of accurate Gaussian filtering towards efficient unscented-type Kalman methods for estimating continuous-time nonlinear stochastic systems with discrete measurements. It implies that the differential equations evolving sigma points utilized in computations of the...

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Bibliographic Details

Published in:	Applied numerical mathematics Vol. 147; pp. 196 - 221
Main Authors:	Kulikov, G.Yu, Kulikova, M.V.
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.01.2020
Subjects:	Continuous-discrete stochastic system Gauss-type nested implicit Runge-Kutta formula with local and global error controls Sigma point differential equations Square-root unscented Kalman filter Stochastic radar tracking model Square-root unscented Kalman filter Continuous-discrete stochastic system Sigma point differential equations Stochastic radar tracking model Gauss-type nested implicit Runge-Kutta formula with local and global error controls
ISSN:	0168-9274, 1873-5460
Online Access:	Get full text
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