Web projektu DAR

Research Centre
Data - Algorithms - Decision Making

Established in 2005 under support of MŠMT ČR (project 1M0572)

Publications

Nonlinear filtering toolbox for continuous stochastic systems with discrete measurements.

Typ:

Conference paper

Authors:

Švácha J., Šimandl M., Straka O., Flídr M.

Proceedings name:

Preprints of the 7th IFAC Symposium on Advances in Control Education

Serie:

Madrid, Spain

Year:

2006

Pages:

1-6

Contact:

Ing. Ondřej Straka, Ph.D. (FAV Západočeská univerzita, katedra kybernetiky)

Keywords:

stochastic systems, state estimation, continuous time system

URL (www page):

http://www.dia.uned.es/ace2006/

attachment1:

clanek_ACE06_OS.pdf [file]

attachment2:

prezentace_ACE06_OS.pdf [file]

Anotation:

The paper deals with a problem of state estimation for nonlinear continuous stochastic systems with discrete-time measurements. A general recursive solution of the estimation problem given by the Bayesian rule and by the Fokker-Planck equation is described. Local estimation methods employing analytical approach to solution and global estimation methods employing analytical, numerical and simulation approaches are discussed. A software package for state estimation of continuous stochastic systems with discrete-time measurements is developed and described. It serves for system design, system simulation, estimator setup and state estimation. The package is designed to embody easily user defined estimators and thus it is suitable for estimator testing and quality comparison of different estimators. Usage of the nonlinear filtering software package is illustrated in a numerical example.