Paper Info
Title
A discontinuous mean-square filter for stochastic differential systems
Abstract
This paper presents a mean-square filter for Lipschitz stochastic differential systems, which contains a discontinuous innovations term in the form of unit control. It is demonstrated that the designed filter yields the ultimate boundedness of the estimation error variance. The developed algorithm is then applied to a third degree polynomial system and compared to the extended Kalman-Bucy filter. The simulation results show the faster convergence and better approximation properties of the proposed filter.
Year
DOI
Venue
2012
10.1109/ACC.2012.6315401
American Control Conference
Keywords
DocType
ISSN
Kalman filters,least mean squares methods,polynomial approximation,stochastic systems,Lipschitz stochastic differential system,approximation property,discontinuous mean-square filter,estimation error variance,extended Kalman-Bucy filter,third degree polynomial system
Conference
0743-1619 E-ISBN : 978-1-4673-2102-0
ISBN
Citations 
PageRank 
978-1-4673-2102-0
0
0.34
References 
Authors
0
3
Name
Order
Citations
PageRank
Rocío Hernández-Fabián100.34
Michael V. Basin276157.75
Alexander G. Loukianov331647.55