Deterministic Kalman filters for uncertain dynamical systems
Fuente:
arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
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| _version_ | 1866915315858800640 |
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| author | Kunisch, Karl Schröder, Jesper |
| author_facet | Kunisch, Karl Schröder, Jesper |
| contents | The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of the concept to systems with uncertain dynamics and noise covariances. In a theoretical analysis error bounds in terms of the variance of the uncertainties are derived. The article concludes with a numerical implementation of two example systems allowing for a comparison of the estimators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_00463 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Deterministic Kalman filters for uncertain dynamical systems Kunisch, Karl Schröder, Jesper Dynamical Systems Optimization and Control Probability The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of the concept to systems with uncertain dynamics and noise covariances. In a theoretical analysis error bounds in terms of the variance of the uncertainties are derived. The article concludes with a numerical implementation of two example systems allowing for a comparison of the estimators. |
| title | Deterministic Kalman filters for uncertain dynamical systems |
| topic | Dynamical Systems Optimization and Control Probability |
| url | https://arxiv.org/abs/2506.00463 |