In this paper, we extend the cubature Kalman filter (CKF) to deal with nonlinear state-space
models of the continuous-discrete kind. To be consistent with the literature, the resulting …

This paper elaborates the Accurate Continuous-Discrete Extended Kalman Filter grounded
in an ODE solver with global error control and its comparison to the Continuous-Discrete …

We develop a new framework for Bayesian filtering in general nonlinear dynamic systems
based on the quasi-Monte Carlo (QMC) numerical techniques. We first propose a general …

This paper is concerned with Bayesian optimal filtering and smoothing of non-linear
continuous-discrete state space models, where the state dynamics are modeled with non …

In this paper, a new version of the quadrature Kalman filter (QKF) is developed theoretically
and tested experimentally. We first derive the new QKF for nonlinear systems with additive …

The quadrature Kalman filter (QKF) is a recursive, nonlinear filtering algorithm developed in
the Kalman filtering framework. It computes the mean and covariance of all conditional …

This paper addresses an accurate and effective implementation of the continuous-discrete
extended Kalman filtering method. The technique under discussion is grounded in …

An improved computational form of the discrete Kalman filter is derived using an upper
triangular factorization of the error covariance matrix. The covariance P is factored such that …

This paper presents a new state estimation technology grounded in the unscented Kalman
filtering for nonlinear continuous-time stochastic systems. The resulting accurate continuous …

Abstract The ensemble Kalman filter (EnKF) is a Monte Carlo-based implementation of the
Kalman filter (KF) for extremely high-dimensional, possibly nonlinear, and non-Gaussian …