Separation approach for numerical solution of the Fokker-Planck equation in estimation problem
| Authors: | Simandl Miroslav, University of West Bohemia in Pilsen, Czech Republic
Svacha Jaroslav, University of West Bohemia in Pilsen, Czech Republic |
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| Topic: | 1.4 Stochastic Systems |
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| Session: | Control, Estimation and Analysis of Stochastic Systems |
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| Keywords: | stochastic systems, state estimation, nonlinear filters, Fokker-Planck equation, numerical solutions, finite volume method,finite difference method |
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Abstract
The paper deals with a filter design for nonlinear continuous stochastic systems with discrete-time measurements. The general recursive solution is given by the Fokker-Planck equation (FPE) and by the Bayesian rule. The stress is laid on computation of the predictive conditional probability density function from FPE. A new usable numerical scheme is designed. In the scheme, the separation technique based on an upwind volume method and a finite difference method for hyperbolic and parabolic part FPE is used. The approach is illustrated in some numerical examples.
