Infinite-dimensional sampled-data Kalman filtering and the stochastic heat equation

• Published in: 49th IEEE Conference on Decision and Control (CDC) pp. 5062 - 5067
• Main Authors: Sallberg, Scott A, Maybeck, Peter S, Oxley, Mark E
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.12.2010
• Subjects: Adaptation model; Approximation methods; Heating; Kalman filters; Mathematical model; Noise; Stochastic processes

In this paper we apply the infinite-dimensional sampled-data Kalman filter (ISKF) to a system characterized by the stochastic heat equation for the purpose of estimating the temperature distribution along a slender (one-dimensional) cylindrical rod using a simple linear measurement model. The key to...