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Citation

Arnošt, R. and Žampa, P. : Singular Kalman filtering: New aspects based on an alternative system theory . WSEAS Transactions on Systems, vol. 9, p. 2860-2866, 2004.

Abstract

This paper is based on an alternative approach to system theory and deals with optimal filters for continuous linear dynamic systems with measurements disturbed by a "colored" noise or a "white" noise vector with a singular covariance matrix. It is shown that the optimal filter proposed in this paper is a slight modification of the Kalman-Bucy filter which can generally contain integrators as well as (backward) differentiators. The classical formulation was, however, reformulated in order to obtain a tractable mathematical interpretation of stochastic differential equations describing given processes and random errors as well as to obtain more practical problem formulation and solution.

Detail of publication

Title: Singular Kalman filtering: New aspects based on an alternative system theory
Author: Arnošt, R. ; Žampa, P.
Language: English
Date of publication: 1 Jan 2004
Year: 2004
Type of publication: Papers in journals
Title of journal or book: WSEAS Transactions on Systems
Číslo vydání: 9
Page: 2860 - 2866
ISBN: 1109-2777
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Keywords

Singular filtering, Kalman-Bucy filter, System theory, Causality law

BibTeX

@ARTICLE{ArnostR_2004_SingularKalman,
 author = {Arno\v{s}t, R. and \v{Z}ampa, P.},
 title = {Singular Kalman filtering: New aspects based on an alternative system theory},
 year = {2004},
 journal = {WSEAS Transactions on Systems},
 volume = {9},
 pages = {2860-2866},
 ISBN = {1109-2777},
 url = {http://www.kky.zcu.cz/en/publications/ArnostR_2004_SingularKalman},
}