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Well-Posedness of Filtering Problems for Stochastic Linear DAE Models
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2005 (English)In: Proceedings of the 44th IEEE Conference on Decision and Control and European Control Conference, 2005, 350-355 p.Conference paper, Published paper (Refereed)
Abstract [en]

Modern modeling tools often give descriptor or DAE models, i.e., models consisting of a mixture of differential and algebraic relationships. The introduction of stochastic signals into such models in connection with filtering problems raises several questions of well-posedness. The main problem is that the system equations may contain hidden relationships affecting variables defined as white noise. The result might be that certain physical variables get infinite variance or contain formal differentiations of white noise. The paper gives conditions for well-posedness in terms of certain subspaces defined by the system matrices.

Place, publisher, year, edition, pages
2005. 350-355 p.
Keyword [en]
Differential-algebraic equations, Kalman filtering, Noise models
National Category
Engineering and Technology Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-30250DOI: 10.1109/CDC.2005.1582180Local ID: 15759ISBN: 0-7803-9567-0 (print)OAI: oai:DiVA.org:liu-30250DiVA: diva2:251072
Conference
44th IEEE Conference on Decision and Control and European Control Conference, Seville, Spain, December, 2005
Available from: 2009-10-09 Created: 2009-10-09 Last updated: 2013-03-22

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Gerdin, MarkusGlad, TorkelLjung, Lennart

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  • nn-NB
  • sv-SE
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