Well-Posedness of Filtering Problems for Stochastic Linear DAE Models
2005 (English)In: Proceedings of the 44th IEEE Conference on Decision and Control and European Control Conference, 2005, 350-355 p.Conference paper (Refereed)
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.
Differential-algebraic equations, Kalman filtering, Noise models
National CategoryEngineering and Technology Control Engineering
IdentifiersURN: urn:nbn:se:liu:diva-30250DOI: 10.1109/CDC.2005.1582180Local ID: 15759ISBN: 0-7803-9567-0OAI: oai:DiVA.org:liu-30250DiVA: diva2:251072
44th IEEE Conference on Decision and Control and European Control Conference, Seville, Spain, December, 2005