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math.OC2015
Convergence of discrete-time Kalman filter estimate to continuous-time estimate for systems with unbounded observation
Atte Aalto
In this article, we complement recent results on the convergence of the state estimate obtained by applying the discrete-time Kalman filter on a time-sampled continuous-time system…
math.OC2015★ 6 cited
Output error minimizing back and forth nudging method for initial state recovery
Atte Aalto
We show that for linear dynamical systems with skew-adjoint generators, the initial state estimate given by the back and forth nudging method with colocated feedback, converges to…