Title

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

Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License
This work is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 4.0 International License.

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