Filtering in Dynamical Systems

Dominik Ballreich
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Dominik Ballreich: University of Hagen

Chapter Chapter 2 in Stable and Efficient Cubature-based Filtering in Dynamical Systems, 2017, pp 5-45 from Springer

Abstract: Abstract A Dynamical system dynamical system describes the dynamics of a time-dependent physical or even pure mathematical phenomenon. The state of the system is represented by the State vector state vector y t . This vector contains the values of all variables necessary to describe the system at a certain point t in time (cf. Kalman 1963, p. 154). In the deterministic case, the time evolution of the state vector is fully predetermined by the state transition equation and possibly also exogenous variables. In the stochastic case, the dynamics of the state vector are additionally influenced by random perturbations.

Date: 2017
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DOI: 10.1007/978-3-319-62130-2_2

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