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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)Report (Other academic)
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
Linköping: Linköping University Electronic Press, 2005. , 9 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2698
Keyword [en]
Differential-algebraic equations, Kalman filtering, Noise models
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-56035ISRN: LiTH-ISY-R-2698OAI: oai:DiVA.org:liu-56035DiVA: diva2:316905
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-06-23Bibliographically approved

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Gerdin, MarkusGlad, TorkelLjung, Lennart

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CiteExportLink to record
Permanent link

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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
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  • asciidoc
  • rtf