Cubature Kalman Filtering for Continuous-Discrete Systems: Theory and Simulations

In this paper, we extend the cubature Kalman filter (CKF) to deal with nonlinear state-space models of the continuous-discrete kind. To be consistent with the literature, the resulting nonlinear filter is referred to as the continuous-discrete cubature Kalman filter (CD-CKF). We use the Itô-Taylor...

Full description

Saved in:

Bibliographic Details
Published in:	IEEE transactions on signal processing Vol. 58; no. 10; pp. 4977 - 4993
Main Authors:	Arasaratnam, Ienkaran, Haykin, Simon, Hurd, Thomas R
Format:	Journal Article
Language:	English
Published:	New York, NY IEEE 01.10.2010 Institute of Electrical and Electronics Engineers The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Applied sciences Bayesian filters Cadmium Computer science; control theory; systems Control theory. Systems Cuba cubature Kalman filter (CKF) Detection, estimation, filtering, equalization, prediction Difference equations Differential equations Exact sciences and technology Filtering theory Gaussian processes Information, signal and communications theory Integral equations Integrals Itô-Taylor expansion Kalman filters Mathematical analysis Mathematical models Miscellaneous nonlinear filtering Nonlinear filters Nonlinearity Radar Signal and communications theory Signal processing Signal, noise square-root filtering Stochastic processes Stochasticity System theory Telecommunications and information theory Transforms Differential equation Kalman filter Non linear filter Gaussian distribution Word length Discrete system cubature Kalman filter (CKF) Difference equation Implementation Discrete filter Series expansion Bayesian filters Kalman filtering Itô-Taylor expansion Stochastic equation Finite word Taylor series Systems theory State space method Extended Kalman filter square-root filtering Simulation Weight function Non linear model Signal processing nonlinear filtering Continuous system
ISSN:	1053-587X, 1941-0476
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!