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Discrete-time estimation of nonlinear continuous-time stochastic systems
Publication
- M. Domżalski
- Z. Kowalczuk
- Year 2016
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...