Abstract
AbstractThis paper elaborates a new approach to nonlinear filtering based on an accurate implementation of the continuous-discrete extended Kalman filter. It implies that the moment differential equations for calculating the predicted state mean of stochastic dynamic system and the corresponding error covariance matrix are solved accurately, i.e. with negligible error. The latter allows the total error of the extended Kalman filter to be reduced significantly and results in a new Accurate Continuous-Discrete Extended Kalman Filtering method. The developed technique is compared theoretically and numerically with other implementations of the extended Kalman filter to conform its outstanding performance on test examples.
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