The Kalman filter on stochastic time scales
Document Type
Article
Publication Title
Nonlinear Analysis: Hybrid Systems
Abstract
In this paper, we discretize a stochastic linear time-invariant system to a dynamic system on a time scale. We then develop a Kalman filter to estimate the true state for the corresponding system. Here, the measurement-update and time-update equations account for the size of the time step when the time scale is generated randomly. Numerical examples are also provided.
DOI
https://doi.org/10.1016/j.nahs.2019.02.008
Publication Date
8-2019
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 4.0 International License.
Recommended Citation
Poulsen, Dylan and Wintz, Nick, "The Kalman filter on stochastic time scales" (2019). Faculty Scholarship. 22.
https://digitalcommons.lindenwood.edu/faculty-research-papers/22
