Reference : Spatial discretization error in Kalman filtering for discrete-time infinite dimension...
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/29118
Spatial discretization error in Kalman filtering for discrete-time infinite dimensional systems
English
Aalto, Atte mailto [Aalto University > Department of Mathematics and Systems Analysis]
29-Mar-2018
IMA Journal of Mathematical Control and Information
Oxford University Press
35
suppl_1
i51-i72
Yes (verified by ORBilu)
International
0265-0754
1471-6887
Oxford
United Kingdom
[en] Kalman filter ; reduced-order filtering ; Riccati equation
[en] We derive a reduced-order state estimator for discrete-time infinite dimensional linear systems with finite dimensional Gaussian input and output noise. This state estimator is the optimal one-step estimate that takes values in a fixed finite dimensional subspace of the system’s state space — consider, for example, a Finite Element space. The structure of the obtained state estimator is like the Kalman filter, but with an additional optimal embedding operator mapping from the reduced space to the original state space. We derive a Riccati difference equation for the error covariance and use sensitivity analysis to obtain a bound for the error of the state estimate due to the state space discretization.
http://hdl.handle.net/10993/29118
10.1093/imamci/dnx015

There is no file associated with this reference.

Bookmark and Share SFX Query

All documents in ORBilu are protected by a user license.