Optimal asynchronous estimation of 2D Gaussian–Markov processes
| Autor: | Z. Kowalczuk, M. Domżalski |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Mathematical optimization
Estimator Markov process Kalman filter Invariant extended Kalman filter Computer Science Applications Theoretical Computer Science symbols.namesake Extended Kalman filter Control and Systems Engineering symbols Fast Kalman filter Ensemble Kalman filter Gaussian process Algorithm Mathematics |
| Zdroj: | International Journal of Systems Science. 43:1431-1440 |
| ISSN: | 1464-5319 0020-7721 |
| DOI: | 10.1080/00207721.2011.604737 |
| Popis: | In this article, we consider the problem of trajectory estimation of a continuous-time two-dimensional 2D Gaussian–Markov processes based on noisy measurements executed in non-uniformly distributed time moments. In such a case, a discrete-time prediction has to be performed in each cycle of estimation by means of a Kalman filter. This task can, however, be computationally expensive. To solve this problem, we derive explicit formulae for predicting the 2D process based on explicit forms of the matrix exponential. The effects of the resulting estimator are confronted with those of the classical Kalman filter. Simulated experiments illustrate the effectiveness of the proposed approach. |
| Databáze: | OpenAIRE |
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