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Accession Number:
AD1079895
Title:
Ito-Taylor Expansion Moments for Continuous-Time State Propagation
Corporate Author:
NAVAL RESEARCH LAB WASHINGTON DC WASHINGTON United States
Report Date:
2019-08-20
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.
Descriptive Note:
Technical Report
Supplementary Note:
01 Jan 0001, 01 Jan 0001, 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.
Pages:
0012
Distribution Statement:
Approved For Public Release;
File Size:
0.62MB
