✦ LIBER ✦

An exact equivalence between the discrete- and continuous-time formulations of the Kalman filter

✍ Scribed by M.W.A. Smith; A.P. Roberts

Publisher: Elsevier Science
Year: 1978
Tongue: English
Weight: 636 KB
Volume: 20
Category: Article
ISSN: 0378-4754
DOI: 10.1016/0378-4754(78)90033-2

No coin nor oath required. For personal study only.

✦ Synopsis

It is shown that if the definition of the covariance of a white noise sequence in discrete-time is derived from the accepted mathematical description for the covariance of a white noise process in continuous-time, compatibility between the discreteand continuous-time versions of the Kalman filter is complete. Consequently the approach to the limit of the discrete-time filter to obtain its continuous-time equivalent no longer depends on Kalman's non-rigorous argument for dividing the covariante of a white noise sequence by the sampling interval At. Such an exact equivalence is essential for comparing the accuray of discrete-time computations with results obtained by numerically integrating the continuous-time filter equations. This approach provides a pragmatic technique for the determination of the most suitable sampling interval for discrete-time Kalman filtering.

📜 SIMILAR VOLUMES

Fixed-bed reactor kalman filtering and o

Fixed-bed reactor kalman filtering and optimal control—I Computational comparison of discrete vs continuous time formulation

✍ Jan P. Sørensen; Sten Bay Jørgensen; Karsten Clement 📂 Article 📅 1980 🏛 Elsevier Science 🌐 English ⚖ 855 KB

A comparison 1s performed between the discrete and contmuous lmplementatlon of Kalman filtenng and optimal control for a stationary process Theoretical resdts for a pilot-plant fixed-bed reactor are provided as an example It is demonstrated that the computational effort for the two implementations d

On the relation of continuous- and discr

On the relation of continuous- and discrete-time state–task network formulations

✍ Christos T. Maravelias; Ignacio E. Grossmann 📂 Article 📅 2006 🏛 American Institute of Chemical Engineers 🌐 English ⚖ 115 KB 👁 1 views

On the Relation between Stability of Con

On the Relation between Stability of Continuous- and Discrete-Time Evolution Equations via the Cayley Transform

✍ B. Z. Guo; Hans Zwart 📂 Article 📅 2005 🏛 SP Birkhäuser Verlag Basel 🌐 English ⚖ 403 KB

Estimating continuous-time stochastic vo

Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter

✍ Travis R. A. Sapp 📂 Article 📅 2009 🏛 Springer US 🌐 English ⚖ 571 KB

A study in continuous time of the identi

A study in continuous time of the identification of initial conditions and/or parameters of deterministic system by means of a Kalman-type filter

✍ M.W.A. Smith; A.P. Roberts 📂 Article 📅 1977 🏛 Elsevier Science 🌐 English ⚖ 648 KB

The performance of a Kalman-type filter in estimating the initial conditions and/or the parameters of a linear deterministic system from a single continuous measurement record is examined. The implications of the deterministic filter are investigated together with the computational aspects of its op

Compatibility of multi-wave panel data a

Compatibility of multi-wave panel data and the continuous-time homogeneous Markov chain. An analysis of a continuous-time process by means of discrete-time longitudinal observations

✍ Carette, Philippe 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 103 KB 👁 2 views

Multi-wave panel data are observations at two or more points in time on a continuously changing attribute of interest (e.g. behaviour). In this paper, the adequacy of the continuous-time homogeneous Markov chain (CTHMC) model is assessed for describing the process of change underlying such data. In