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The Kalman-Bucy Filter for Linear Stochastic Dynamic Systems with Discontinuous Trajectories

✍ Scribed by V. Yu. Bereza; V. K. Yasinskii


Book ID
111544625
Publisher
Springer US
Year
2003
Tongue
English
Weight
73 KB
Volume
39
Category
Article
ISSN
1573-8337

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We report the use of the Kalman filter to detect the onset of chaos in a non-linear system for which the model is exactly known. The procedure is based on predicting the trajectories of a non-linear dynamical system and testing the innovation Ε½ . sequence for the predicted trajectory using the local