Deterministic Kalman Filtering on Semi-Infinite Interval

Deterministic Kalman Filtering on Semi-Infinite Interval

We relate a deterministic Kalman filter on semi-infinite interval to linear-quadratic tracking control model with unfixed initial condition.

On unscented Kalman filtering with state interval constraints

This paper addresses the state-estimation problem for nonlinear systems for the case in which prior knowledge is available in the form of interval constraints on the states. Approximate solutions to this problem are reviewed and compared with new algorithms. All the algorithms investigated are based on the unscented Kalman filter. Two illustrative examples of chemical processes are discussed. N...

Interval Kalman Filtering - Aerospace and Electronic Systems, IEEE Transactions on

0018-9251/97/$10.00 @ 1997 IEEE Robust estimation, or robust filtering, for uncertain linear systems has been investigated under different conditions in the last two decades (see, for instance, [8, 91 and the references therein). In particular, robust Kalman filtering with respect to uncertain linear systems is still an active research topic that attracts increasing interest, on which several a...

Infinite-Dimensional Filtering: The Kalman-Bucy Filter in Hilbert Space

We examine the question of determining the "best" linear filter, in an expected squared error sense, for a signal generated by stochastic linear differential equation on a Hilbert space. Our results, which extend the development in Kalman and Bucy (1960), rely heavily on the integration theory for Banach-space-valued functions of Dunford and Schwartz (1958). In order to derive the Kalman-Bucy f...

Interval Kalman filtering applied to uninhabited surface vehicle navigation