The Kalman filter on stochastic time scales. (August 2019)

• Record Type: Journal Article
• Authors: Poulsen, Dylan; Wintz, Nick
• Is Part Of: Nonlinear analysis. Volume 33(2019)
• Page Start: 151
• Page End: 161
• Publication Date: 2019-08
• Subjects: Kalman filter -- Time scale -- Dynamic equation -- Discretization -- Riccati Equation; Nonlinear functional analysis -- Periodicals; Analyse fonctionnelle non linéaire -- Périodiques; Nonlinear functional analysis; Periodicals; 515.7248
• DOI: 10.1016/j.nahs.2019.02.008
• Languages: English
• ISSNs: 1751-570X

Abstract

Abstract: In this paper, we discretize a stochastic linear time-invariant system to a dynamic system on a time scale. We then develop a Kalman filter to estimate the true state for the corresponding system. Here, the measurement-update and time-update equations account for the size of the time step when the time scale is generated randomly. Numerical examples are also provided.