Ito-Taylor Expansion Moments for Continuous-Time State Propagation

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.

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Document Details

Document Type
Technical Report
Publication Date
Aug 20, 2019
Accession Number
AD1079895

Entities

People

  • David F. Crouse

Organizations

  • United States Naval Research Laboratory

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Additives (Chemicals)
  • Algorithms
  • Calculus
  • Covariance
  • Differential Equations
  • Equations
  • Filters
  • Gaussian Distributions
  • Integrals
  • Kalman Filters
  • Mathematical Filters
  • Measurement
  • Military Research
  • Numbers
  • Probability Density Functions
  • Random Variables
  • Target Tracking

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