Search
Abstract
In this paper we consider the problem of state estimation of a dynamic system whose evolution is described by a nonlinear continuous-time stochastic model. We also assume that the system is observed by a sensor in discrete-time moments. To perform state estimation using uncertain discrete-time data, the system model needs to be discretized. We compare two methods of discretization. The first method uses the classical forward Euler method. The second method is based on the continuous-time simulation of the deterministic part of the non-linear system between consecutive times of measurement. For state estimation we apply an unscented Kalman Filter, which - as opposed to the well known Extended Kalman Filter - does not require calculation of the Jacobi matrix of the nonlinear transformation associated with this method.
Authors (2)
Cite as
Full text
full text is not available in portal
Keywords
Details
- Category:
- Conference activity
- Type:
- publikacja w wydawnictwie zbiorowym recenzowanym (także w materiałach konferencyjnych)
- Title of issue:
- The 12th International Conference on Diagnostics of Processes and Systems (DPS’2015) strony 1 - 12
- Language:
- English
- Publication year:
- 2015
- Bibliographic description:
- Domżalski M., Kowalczuk Z.: Discrete-time estimation of nonlinear continuous-time stochastic systems// The 12th International Conference on Diagnostics of Processes and Systems (DPS’2015)/ ed. IPCChair: Zdzisław Kowalczuk Polska: PAN, POLSPAR, GUT, UZ, WUT,, 2015, s.1-12
- Verified by:
- Gdańsk University of Technology
seen 134 times