This work investigates the problem of state estimation for singular stochastic differential systems. A Kalman-Bucy-like filter is proposed, based on a suitable decomposition of the descriptor vector into two components. The first one is expressed as a function of the observation, and therefore does not need to be estimated, while the second component is described by a regular linear stochastic system and can be estimated by a Kalman-Bucy filter. Numerical simulations are presented on the case of a stochastic system with an unknown input, modeled as a singular system.
Germani, A., Manes, C., Palumbo, P. (2002). Kalman Bucy filtering for linear stochastic differential systems with unknown inputs. In Proceedings 15th World Congress of the International Federation of Automatic Control, 2002; Barcelona; Spain; 21-26 July (pp.61-66). IFAC Secretariat [10.3182/20020721-6-ES-1901.00663].
Kalman Bucy filtering for linear stochastic differential systems with unknown inputs
Palumbo, P
2002
Abstract
This work investigates the problem of state estimation for singular stochastic differential systems. A Kalman-Bucy-like filter is proposed, based on a suitable decomposition of the descriptor vector into two components. The first one is expressed as a function of the observation, and therefore does not need to be estimated, while the second component is described by a regular linear stochastic system and can be estimated by a Kalman-Bucy filter. Numerical simulations are presented on the case of a stochastic system with an unknown input, modeled as a singular system.
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