The Kalman filter on stochastic time scales
Nonlinear Analysis: Hybrid Systems
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.
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Poulsen, Dylan and Wintz, Nick, "The Kalman filter on stochastic time scales" (2019). Faculty Scholarship. 22.