Discrete-time Solutions to the Continuous-time Differential Lyapunov Equation With Applications to Kalman Filtering
2015 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 60, no 3, 632-643 p.Article in journal (Refereed) Published
Prediction and filtering of continuous-time stochastic processes often require a solver of a continuous-time differential Lyapunov equation (CDLE), for example the time update in the Kalman filter. 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 novel 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
IEEE Press, 2015. Vol. 60, no 3, 632-643 p.
Continuous time systems, Discrete time systems, Kalman filters, Sampling methods
IdentifiersURN: urn:nbn:se:liu:diva-104790DOI: 10.1109/TAC.2014.2353112ISI: 000350206000003OAI: oai:DiVA.org:liu-104790DiVA: diva2:699061
ProjectsVinnova Excellence Center LINK-SIC