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

平方根 卡尔曼滤波器 应用数学 数学 非线性系统 控制理论(社会学) 扩展卡尔曼滤波器 计算机科学 统计 几何学 量子力学 物理 人工智能 控制(管理)
作者
Maria V. Kulikova,Gennady Yu. Kulikov
出处
期刊:European Journal of Control [Elsevier BV]
卷期号:76: 100960-100960 被引量:4
标识
DOI:10.1016/j.ejcon.2024.100960
摘要

In this paper, we continue to study the derivative-free extended Kalman filtering (DF-EKF) framework for state estimation of continuous–discrete nonlinear stochastic systems. Having considered the Euler–Maruyama and Itô–Taylor discretization schemes for solving stochastic differential equations, we derive the related filters' moment equations based on the derivative-free EKF principal. In contrast to the recently derived MATLAB-based continuous–discrete DF-EKF techniques, the novel DF-EKF methods preserve an information about the underlying stochastic process and provide the estimation procedure for a fixed number of iterates at the propagation steps. Additionally, the DF-EKF approach is particularly effective for working with stochastic systems with highly nonlinear and/or nondifferentiable drift and observation functions, but the price to be paid is its degraded numerical stability (to roundoff) compared to the standard EKF framework. To eliminate the mentioned pitfall of the derivative-free EKF methodology, we develop the conventional algorithms together with their stable square-root implementation methods. In contrast to the published DF-EKF results, the new square-root techniques are derived within both the Cholesky and singular value decompositions. A performance of the novel filters is demonstrated on a number of numerical tests including well- and ill-conditioned scenarios.
最长约 10秒,即可获得该文献文件

科研通智能强力驱动
Strongly Powered by AbleSci AI
更新
PDF的下载单位、IP信息已删除 (2025-6-4)

科研通是完全免费的文献互助平台,具备全网最快的应助速度,最高的求助完成率。 对每一个文献求助,科研通都将尽心尽力,给求助人一个满意的交代。
实时播报
1秒前
LTT发布了新的文献求助10
1秒前
liyutong完成签到 ,获得积分10
2秒前
快乐一江发布了新的文献求助10
2秒前
桐桐应助lw采纳,获得10
2秒前
娜娜发布了新的文献求助10
3秒前
量子星尘发布了新的文献求助10
3秒前
七日春信完成签到,获得积分10
3秒前
研友_Zzrx6Z发布了新的文献求助10
3秒前
xxddw发布了新的文献求助10
6秒前
乐乐应助星空采纳,获得30
7秒前
舒心渊思完成签到,获得积分10
11秒前
iNk应助经绮梅采纳,获得10
11秒前
savesunshine1022完成签到,获得积分10
11秒前
Koi发布了新的文献求助20
12秒前
14秒前
Owen应助娜娜采纳,获得10
14秒前
七日春信发布了新的文献求助10
15秒前
fanfan完成签到 ,获得积分10
17秒前
17秒前
20秒前
旧梦发布了新的文献求助10
25秒前
李爱国应助大青山采纳,获得10
26秒前
27秒前
NexusExplorer应助潇湘雪月采纳,获得10
30秒前
30秒前
娜娜完成签到,获得积分20
32秒前
wanci应助zpc采纳,获得10
34秒前
36秒前
一行完成签到,获得积分10
36秒前
xxddw发布了新的文献求助10
37秒前
39秒前
英姑应助fengliurencai采纳,获得10
42秒前
42秒前
xxddw完成签到,获得积分10
44秒前
逝月完成签到,获得积分10
44秒前
Koi完成签到,获得积分10
45秒前
思源应助大青山采纳,获得10
45秒前
yuqinghui98发布了新的文献求助10
45秒前
科研通AI2S应助mariawang采纳,获得10
46秒前
高分求助中
A new approach to the extrapolation of accelerated life test data 1000
ACSM’s Guidelines for Exercise Testing and Prescription, 12th edition 500
‘Unruly’ Children: Historical Fieldnotes and Learning Morality in a Taiwan Village (New Departures in Anthropology) 400
Indomethacinのヒトにおける経皮吸収 400
Phylogenetic study of the order Polydesmida (Myriapoda: Diplopoda) 370
基于可调谐半导体激光吸收光谱技术泄漏气体检测系统的研究 350
Robot-supported joining of reinforcement textiles with one-sided sewing heads 320
热门求助领域 (近24小时)
化学 材料科学 医学 生物 工程类 有机化学 生物化学 物理 内科学 纳米技术 计算机科学 化学工程 复合材料 遗传学 基因 物理化学 催化作用 冶金 细胞生物学 免疫学
热门帖子
关注 科研通微信公众号,转发送积分 3989390
求助须知:如何正确求助?哪些是违规求助? 3531487
关于积分的说明 11254109
捐赠科研通 3270153
什么是DOI,文献DOI怎么找? 1804887
邀请新用户注册赠送积分活动 882087
科研通“疑难数据库(出版商)”最低求助积分说明 809174