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Citation

Šimandl, M. and Švácha, J. : Separation approach for numerical solution of the Fokker-Planck equation in estimation problem . Proceedings of the 16th IFAC World Congress, vol. 1, p. 123-128, Elsevier, Oxford, 2006.

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: 2006
Type of publication: Book Chapters
Title of journal or book: Proceedings of the 16th IFAC World Congress
Číslo vydání: 1
Page: 123 - 128
ISBN: 0-08-045108-X
Publisher: Elsevier
Address: Oxford
Date: 3 Jul 2005 - 8 Jul 2005
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Keywords

stochastic systems, state estimation, nonlinear filters, Fokker-Planck equation, numerical solutions, finite volume method, finite difference method

BibTeX

@INBOOK{SimandlM_2006_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 = {2006},
 publisher = {Elsevier},
 journal = {Proceedings of the 16th IFAC World Congress},
 address = {Oxford},
 volume = {1},
 pages = {123-128},
 ISBN = {0-08-045108-X},
 url = {http://www.kky.zcu.cz/en/publications/SimandlM_2006_Separationapproach},
}