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Discrete-time Solutions to the Continuous-time Differential Lyapunov Equation With Applications to Kalman Filtering
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2012 (English)Report (Other academic)
Abstract [en]

Prediction and filtering of continuous-time stochastic processes  require a solver of a continuous-time differential Lyapunov equation (CDLE).   Even though this can be recast into an ordinary differential equation (ODE),  where standard solvers can be applied, the dominating approach in  Kalman filter applications is to discretize the system and then  apply the discrete-time difference Lyapunov equation (DDLE). To avoid problems with  stability and poor accuracy, oversampling is often used. This  contribution analyzes over-sampling strategies, and proposes a  low-complexity analytical solution that does not involve  oversampling. The results are illustrated on Kalman filtering  problems in both linear and nonlinear systems.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2012. , 9 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 3055
Keyword [en]
Continuous time systems, Discrete time systems, Kalman filters, Sampling methods
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-86481ISRN: LiTH-ISY-R-3055OAI: oai:DiVA.org:liu-86481DiVA: diva2:577958
Projects
LINK-SIC
Available from: 2012-12-17 Created: 2012-12-17 Last updated: 2014-06-16Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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