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Citation
: Separation approach for numerical solution of the Fokker-Planck equation in estimation problem . Preprints of the 16th IFAC world congress, p. 1-6, IFAC, Prague, 2005.
Abstract
The paper deals with a filter design for nonlinear continuous stochastic systems with discrete-time measurements. The general recursive solution is given by the Fokker-Planck equation (FPE) and by the Bayesian rule. The stress is laid on computation of the predictive conditional probability density function from FPE. A new usable numerical scheme is designed. In the scheme, the separation technique based on an upwind volume method and a finite difference method for hyperbolic and parabolic part FPE is used. The approach is illustrated in some numerical examples.
Detail of publication
| Title: | Separation approach for numerical solution of the Fokker-Planck equation in estimation problem |
|---|---|
| Author: | Šimandl, M. ; Švácha, J. |
| Language: | English |
| Date of publication: | 3 Jul 2005 |
| Year: | 2005 |
| Type of publication: | Papers in proceedings of reviewed conferences |
| Title of journal or book: | Preprints of the 16th IFAC world congress |
| Page: | 1 - 6 |
| Publisher: | IFAC |
| Address: | Prague |
| Date: | 3 Jul 2005 - 8 Jul 2005 |
Keywords
stochastic systems, state estimation, nonlinear filters, Fokker-Planck equation, numerical solutions, finite volume method, finite difference method
BibTeX
@INPROCEEDINGS{SimandlM_2005_Separationapproach,
author = {\v{S}imandl, M. and \v{S}v\'{a}cha, J.},
title = {Separation approach for numerical solution of the Fokker-Planck equation in estimation problem},
year = {2005},
publisher = {IFAC},
journal = {Preprints of the 16th IFAC world congress},
address = {Prague},
pages = {1-6},
url = {http://www.kky.zcu.cz/en/publications/SimandlM_2005_Separationapproach},
}