KALMAN FILTERING ON APPROXIMATE STATE-SPACE MODELS

Authors
RUIZ JC VALDERRAMA MJ GUTIERREZ R
Citation
Jc. Ruiz et al., KALMAN FILTERING ON APPROXIMATE STATE-SPACE MODELS, Journal of optimization theory and applications, 84(2), 1995, pp. 415-431
Citations number
6
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science
Journal title
Journal of optimization theory and applications → ACNP
ISSN journal
00223239
Volume
84
Issue
2
Year of publication
1995
Pages
415 - 431
Database
ISI
SICI code
0022-3239(1995)84:2<415:KFOASM>2.0.ZU;2-H
Abstract
Several state-space models for estimating a second-order stochastic pr ocess are proposed in this paper on the basis of the approximate Karhu nen-Loeve expansion. Properties of these models are studied and then t he Kalman filtering method is applied. The accuracy of the models on t he basis of two different situations, deterministic or random inputs, is studied by means of a simulation of a Brownian motion.