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Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Publications
Separation approach for numerical solution of the Fokker-Planck equation in estimation problem.
Typ:
Conference paper
Authors:
Proceedings name:
Preprints of the 16th IFAC World Congress.
Serie:
Prague
Year:
2005
Keywords:
stochastic systems, state estimation, nonlinear filters
URL (www page):
attachment1:
clanek_IFAC05_JS.pdf [file]
Anotation:
The paper deals with a filter design for nonlinear continuous stochastic systems with discrete-time measurements. The general recursive solution is given by the Fokker-Planck equation (FPE) and by the Bayesian rule. The stress is laid on computation of the predictive conditional probability density function from FPE. A new usable numerical scheme is esigned. In the scheme, the separation technique based on an upwind volume method and a finite difference method for hyperbolic and parabolic part FPE is used. The pproach is illustrated in some numerical examples.