May  2002, 2(2): 169-184. doi: 10.3934/dcdsb.2002.2.169

Control of Kalman-like filters using impulse and continuous feedback design

1. 

Department of Physical and Mathematical Science, Autonomous University of Nuevo Leon, Apdo postal 144-F, C.P. 66450, San Nicolas de los Garza, Nuevo Leon, Mexico

2. 

Mathematics Department, University of Nevada, Reno, Reno, NV 89511, United States

Received  October 1999 Revised  August 2001 Published  February 2002

This paper develops the observation control method for refining the Kalman-Bucy estimates, which is based on impulsive modeling of the transition matrix in an observation equation, thus engaging discrete-continuous observations. The impulse observation control generates on-line computable jumps of the estimate variance from its current position towards zero and, as a result, enables us to instantaneously obtain the estimate, whose variance is closer to zero. The filtering equations over impulse-controlled observations are obtained in the Kalman-Bucy filtering problem. The method for feedback design of control of the estimate variance is developed. First, the pure impulse control is used, and, next, the combination of the impulse and continuous control components is employed. The considered examples allow us to compare the properties of these control and filtering methodologies.
Citation: Michael Basin, Mark A. Pinsky. Control of Kalman-like filters using impulse and continuous feedback design. Discrete & Continuous Dynamical Systems - B, 2002, 2 (2) : 169-184. doi: 10.3934/dcdsb.2002.2.169
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