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Nonlinear Stochastic Differential-Algebraic Equations with Application to Particle Filtering
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.
2007 (English)Report (Other academic)
Abstract [en]

Differential-algebraic equation (DAE) models naturally arise when modeling physical systems from first principles. To be able to use such models for state estimation procedures such as particle filtering, it is desirable to include a noise model. This paper discusses well-posedness of differential-algebraic equations with noise models, here denoted stochastic differential-algebraic equations. Since the exact conditions are rather involved, approximate implementation methods are also discussed. It is also discussed how a particle filter can be implemented for DAE models, and how the approximate implementation methods can be used for particle filtering. Finally, the particle filtering methods are exemplified by implementation of a particle filter for a DAE model.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2007. , 8 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2763
Keyword [en]
Differential-algebraic equations, Particle filtering
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-56114ISRN: LiTH-ISY-R-2763OAI: oai:DiVA.org:liu-56114DiVA: diva2:316816
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-06-26Bibliographically approved

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Gerdin, MarkusSjöberg, Johan

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf