Stochastic Integration Filter
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F13%3A43918715" target="_blank" >RIV/49777513:23520/13:43918715 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1109/TAC.2013.2258494" target="_blank" >http://dx.doi.org/10.1109/TAC.2013.2258494</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/TAC.2013.2258494" target="_blank" >10.1109/TAC.2013.2258494</a>
Alternative languages
Result language
angličtina
Original language name
Stochastic Integration Filter
Original language description
The technical note deals with state estimation of nonlinear stochastic dynamic systems. Traditional filters providing local estimates of the state, such as the extended Kalman filter, unscented Kalman filter, or the cubature Kalman filter, are based on computationally efficient but approximate integral evaluations. On the other hand, the Monte Carlo based Kalman filter takes an advantage of asymptotically exact integral evaluations but at the expense of substantial computational demands. The aim of thetechnical note is to propose a new local filter that utilises stochastic integration methods providing the asymptotically exact integral evaluation with computational complexity similar to the traditional filters. The technical note will demonstrate thatthe unscented and cubature Kalman filters are special cases of the proposed stochastic integration filter. The proposed filter is illustrated by a numerical example.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP103%2F11%2F1353" target="_blank" >GAP103/11/1353: State Estimation of Dynamic Stochastic Systems</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN
0018-9286
e-ISSN
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Volume of the periodical
58
Issue of the periodical within the volume
6
Country of publishing house
US - UNITED STATES
Number of pages
6
Pages from-to
1561 - 1566
UT code for WoS article
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EID of the result in the Scopus database
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