Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4616636 | Journal of Mathematical Analysis and Applications | 2013 | 18 Pages |
Abstract
We introduce the Kalman filter for linear systems on time scales, which includes the discrete and continuous versions as special cases. When the system is also stochastic, we show that the Kalman filter is an observer that estimates the system when the state is corrupted by noisy measurements. Finally, we show that the duality of the Kalman filter and the Linear Quadratic Regulator (LQR) is preserved in their unification on time scales. A numerical example is provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Martin Bohner, Nick Wintz,