Kalman Filter and its Modern Extensions for the Continuous-time Nonlinear Filtering Problem

Preprint English OPEN
Taghvaei, Amirhossein; de Wiljes, Jana; Mehta, Prashant G.; Reich, Sebastian;
(2017)
  • Subject: Mathematics - Optimization and Control | Computer Science - Systems and Control

This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian problem, (ii) the ensemble Kalman-Bu... View more