Conference paper
A Computationally Efficient and Robust Implementation of the Continuous-Discrete Extended Kalman Filter
Scientific Computing, Department of Informatics and Mathematical Modeling, Technical University of Denmark1
Department of Informatics and Mathematical Modeling, Technical University of Denmark2
Mathematical Statistics, Department of Informatics and Mathematical Modeling, Technical University of Denmark3
Department of Chemical and Biochemical Engineering, Technical University of Denmark4
We present a novel numerically robust and computationally efficient extended Kalman filter for state estimation in nonlinear continuous-discrete stochastic systems. The resulting differential equations for the mean-covariance evolution of the nonlinear stochastic continuous-discrete time systems are solved efficiently using an ESDIRK integrator with sensitivity analysis capabilities.
This ESDIRK integrator for the mean- covariance evolution is implemented as part of an extended Kalman filter and tested on a PDE system. For moderate to large sized systems, the ESDIRK based extended Kalman filter for nonlinear stochastic continuous-discrete time systems is more than two orders of magnitude faster than a conventional implementation.
This is of significance in nonlinear model predictive control applications, statistical process monitoring as well as grey-box modelling of systems described by stochastic differential equations.
| Language: | English |
|---|---|
| Publisher: | IEEE |
| Year: | 2007 |
| Pages: | 3706-3712 |
| Proceedings: | American Control Conference 2007 |
| ISBN: | 1424409888 , 1424409896 , 9781424409884 and 9781424409891 |
| ISSN: | 23785861 and 07431619 |
| Types: | Conference paper |
| DOI: | 10.1109/ACC.2007.4282549 |
| ORCIDs: | Jørgensen, John Bagterp and Madsen, Henrik |
Differential equations ESDIRK integrator Filtering Kalman filters Monitoring PDE system Partial differential equations Predictive control Predictive models Robustness State estimation Stochastic systems continuous time systems continuous-discrete extended kalman filter continuous-discrete time systems differential equations discrete time systems grey-box modelling mean-covariance evolution nonlinear continuous-discrete stochastic systems nonlinear filters nonlinear systems partial differential equations predictive control sensitivity analysis state estimation statistical process monitoring stochastic systems
