Title :
A discontinuous mean-square filter for stochastic differential systems
Author :
Hernandez-Fabian, R. ; Basin, Michael ; Loukianov, A.
Author_Institution :
Center for Res. & Grad. Studies (CINVESTAV), Guadalajara, Mexico
Abstract :
This paper presents a mean-square filter for Lipschitz stochastic differential systems, which contains a discontinuous innovations term in the form of unit control. It is demonstrated that the designed filter yields the ultimate boundedness of the estimation error variance. The developed algorithm is then applied to a third degree polynomial system and compared to the extended Kalman-Bucy filter. The simulation results show the faster convergence and better approximation properties of the proposed filter.
Keywords :
Kalman filters; least mean squares methods; polynomial approximation; stochastic systems; Lipschitz stochastic differential system; approximation property; discontinuous mean-square filter; estimation error variance; extended Kalman-Bucy filter; third degree polynomial system; Equations; Estimation error; Kalman filters; Lyapunov methods; Mathematical model; Stochastic systems; Technological innovation;
Conference_Titel :
American Control Conference (ACC), 2012
Conference_Location :
Montreal, QC
Print_ISBN :
978-1-4577-1095-7
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2012.6315401
