Well-Posedness of Filtering Problems for Stochastic Linear DAE Models
2005 (English)Report (Other academic)
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
Linköping: Linköping University Electronic Press, 2005. , 9 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2698
Differential-algebraic equations, Kalman filtering, Noise models
IdentifiersURN: urn:nbn:se:liu:diva-56035ISRN: LiTH-ISY-R-2698OAI: oai:DiVA.org:liu-56035DiVA: diva2:316905