A study in continuous time of the identification of initial conditions and/or parameters of deterministic system by means of a Kalman-type filter

M.W.A. Smith and A.P. Roberts

Mathematics and Computers in Simulation (MATCOM), 1977, vol. 19, issue 3, 217-226

Abstract: The performance of a Kalman-type filter in estimating the initial conditions and/or the parameters of a linear deterministic system from a single continuous measurement record is examined. The implications of the deterministic filter are investigated together with the computational aspects of its operation. A suitable algorithm is developed to overcome difficulties associated with the matrix Riccati equation.

Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:19:y:1977:i:3:p:217-226

DOI: 10.1016/0378-4754(77)90060-X

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