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Digital simulation of Kalman-Bucy filter and an optimal filter with discrete input data. (English. Russian original) Zbl 0566.93060
Autom. Remote Control 46, 50-58 (1985); translation from Avtom. Telemekh. 1985, No. 1, 59-68 (1985).
Digital simulation of the Kalman-Bucy filter is considered for continuous systems, with the input data being processed and utilized at discrete instants. The numerical integration of the filter equations is based on recursion equations for optimal estimates of the system state according to discrete observations. Recommendations are given with regard to the selection of the discretization step in digital simulation. Some results of numerical experiments are also presented.
MSC:
93E11 Filtering in stochastic control theory
62L12 Sequential estimation
93E25 Computational methods in stochastic control (MSC2010)
62M20 Inference from stochastic processes and prediction
93C05 Linear systems in control theory
93E10 Estimation and detection in stochastic control theory
93C99 Model systems in control theory
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