Accession Number:

AD1079895

Title:

Ito-Taylor Expansion Moments for Continuous-Time State Propagation

Descriptive Note:

Technical Report

Corporate Author:

NAVAL RESEARCH LAB WASHINGTON DC WASHINGTON United States

Personal Author(s):

• Crouse,David F.

Report Date:

2019-08-20

Pagination or Media Count:

12.0

Abstract:

The state-prediction step of the continuous-discrete cubature Kalman filter by Arasaratnam, Haykin, and Hurd was derived using the mean andcovariance matrix of an order-1.5 strong It-Taylor expansion for autonomous additive noise. In this note, we provide the mean and covariancematrix of a variety of strong and weak It-Taylor expansions, enabling the implementation of nine continuous-discrete cubature Kalman filtervariants.

Descriptors:

• target tracking
• kalman filters
• covariance
• algorithms
• differential equations

Subject Categories:

• Electricity and Magnetism

Distribution Statement:

APPROVED FOR PUBLIC RELEASE