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• W3196685191 abstract "This paper continues our research devoted to an accurate nonlinear Bayesian filters' design. Our solution implies numerical methods for solving ordinary differential equations (ODE) when propagating the mean and error covariance of the dynamic state. The key idea is that an accurate implementation strategy implies the methods with a discretization error control involved. This means that the filters' moment differential equations are to be solved accurately, i.e. with negligible error. In this paper, we explore the continuous-discrete extended-cubature Kalman filter that is a hybrid method between Extended and Cubature Kalman filters (CKF). Motivated by recent results obtained for the continuous-discrete CKF in Bayesian filtering realm, we propose the numerically stable (to roundoff) square-root approach within a singular value decomposition (SVD) for the hybrid filter. The new method is extensively tested on a few application examples including stiff systems." @default.
• W3196685191 created "2021-09-13" @default.
• W3196685191 creator A5023299790 @default.
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• W3196685191 date "2022-01-01" @default.
• W3196685191 modified "2023-10-08" @default.
• W3196685191 title "Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter" @default.
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• W3196685191 doi "https://doi.org/10.1016/j.apnum.2021.08.013" @default.
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