Fast Continuous-Discrete DAF-Filters

Mazzoni, Thomas GND

This paper introduces a new method for nonlinear continuous-discrete filtering. It is shown that the Fokker-Planck-Equation can be solved numerically by using distributed approximating functionals (DAFs). The approximation is very accurate and resolves the time interval between observations in one calculation step. Additionally, the operator matrix has to be evaluated only once and not necessarily online. Therefore the method is very efficient.

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Mazzoni, Thomas: Fast Continuous-Discrete DAF-Filters. Hagen 2009. FernUniversität in Hagen.

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