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Citation

Švácha, J. and Šimandl, M. and Straka, O. and Flídr, M. : Nonlinear filtering toolbox for continuous stochastic systems with discrete measurements . Preprints of the 7th IFAC Symposium on advances in control education, p. 1-6, IFAC, Madrid, 2006.

Abstract

The paper deals with a problem of state estimation for nonlinear continuous stochastic systems with discrete-time measurements. A general recursive solution of the estimation problem given by the Bayesian rule and by the Fokker-Planck equation is described. Local estimation methods employing analytical approach to solution and global estimation methods employing analytical, numerical and simulation approaches are discussed. A software package for state estimation of continuous stochastic systems with discrete-time measurements is developed and described. It serves for system design, system simulation, estimator setup and state estimation. The package is designed to embody easily user defined estimators and thus it is suitable for estimator testing and quality comparison of different estimators. Usage of the nonlinear filtering software package is illustrated in a numerical example.

Detail of publication

Title: Nonlinear filtering toolbox for continuous stochastic systems with discrete measurements
Author: Švácha, J. ; Šimandl, M. ; Straka, O. ; Flídr, M.
Language: English
Date of publication: 21 Jun 2006
Year: 2006
Type of publication: Papers in proceedings of reviewed conferences
Title of journal or book: Preprints of the 7th IFAC Symposium on advances in control education
Page: 1 - 6
Publisher: IFAC
Address: Madrid
Date: 21 Jun 2006 - 23 Jun 2006
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Keywords

stochastic systems, state estimation, nonlinear filters, continuous time systems, estimation algorithms, software tools.

BibTeX

@INPROCEEDINGS{SvachaJ_2006_Nonlinearfiltering,
 author = {\v{S}v\'{a}cha, J. and \v{S}imandl, M. and Straka, O. and Fl\'{i}dr, M.},
 title = {Nonlinear filtering toolbox for continuous stochastic systems with discrete measurements},
 year = {2006},
 publisher = {IFAC},
 journal = {Preprints of the 7th IFAC Symposium on advances in control education},
 address = {Madrid},
 pages = {1-6},
 url = {http://www.kky.zcu.cz/en/publications/SvachaJ_2006_Nonlinearfiltering},
}