A Modeling and Filtering Framework for Linear Differential-Algebraic Equations

Proceedings of the IEEE Conference on Decision and Control

Volumn 1, Issue , 2003, Pages 892-897

  Schön, Thomas ^a   Gerdin, Markus ^a   Glad, Torkel ^a   Gustafsson, Fredrik ^a  

^a LINKÖPING UNIVERSITY   (Sweden)

Author keywords

Descriptor systems; Differential algebraic equations; Discretization; Implicit systems; Kalman filters; Noise; Singular systems; White noise

Indexed keywords

ALGEBRA; ALGORITHMS; DIFFERENTIAL EQUATIONS; KALMAN FILTERING; WHITE NOISE;

DESCRIPTOR SYSTEMS; DIFFERENTIAL ALGEBRIC EQUATIONS; IMPLICIT SYSTEMS; SINGULAR SYSTEMS;

COMPUTER SOFTWARE;

EID: 1542269229     PISSN: 01912216     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (22)

1. K.J. Åström. Introduction to Stochastic Control Theory. Mathematics in Science and Engineering. Academic Press, New York and London, 1970.
2. K.E. Brenan, S.L. Campbell, and L.R. Petzold. Numerical Solution of Initial-Value Problems in Differential-Algebraic Equations. SIAM's Classics in Applied Methematics. SIAM, New York, 1996.
3. S.L. Campbell. Descriptor systems in the 90's. In Proceedings of the 29th Conference on Decision and control, pages 442-447, Honolulu, Hawaii, USA, December 1990. IEEE.
4. L. Dai. State estimation schemes for singular systems. In Preprints of the 10th IFAC World Congress, Munich, Germany, volume 9, pages 211-215, 1987.
5. L. Dai. Filtering and LQG problems for discrete-time stochastic singular systems. IEEE Transactions on Automatic Control, 34(10):1105-1108, October 1989.
6. L. Dai. Singular Control Systems. Lecture Notes in Control and Information Sciences. Springer-Verlag, Berlin, New York, 1989.
7. M. Darouach, M. Zasadzinski, and D. Mehdi. State estimation of stochastic singular linear systems. International Journal of Systems Sciences, 24(2):345-354, 1993.
8. Z.L. Deng and Y.M. Liu. Descriptor kalman filtering. International Journal of Systems Science, 30(11):1205-1212, 1999.
9. M. Gerdin, T. Glad, and L. Ljung. Parameter estimation in linear differential-algebraic equations. In Proceedings of the 13th IFAC symposium on system identification, Rotterdam, the Netherlands, 2003. Accepted for publication.
10. T. Glad and L. Ljung. Control Theory, Multivariable and Nonlinear Methods. Taylor and Francis, 2000.
11. F. Gustafsson. Adaptive Filtering and Change Detection. John Wiley & Sons, 2000.
12. T. Kailath. Linear systems. Prentice Hall, Englewood Cliffs, N.J., 1980.
13. L. Ljung and T. Glad. Modellbygge och simulering. Studentlitteratur, 2003. To appear. In Swedish.
14. S.E. Mattsson, H. Elmqvist, and M. Otter. Physical system modeling with Modelica. Control Engineering Practice, 6:501-510, 1998.
15. R. Nikoukhah, S.L. Campbell, and F. Delebecque. Kalaman filtering for general discrete-time linear systems. In Proceedings of the 37th Conference on Decision and Control, pages 2886-2891, Tampa, Florida, USA, Dec 1998.
16. R. Nikoukhah, S.L. Campbell, and F. Delebecque. Kalaman filtering for general discrete-time linear systems. IEEE Transactions on Automatic Control, 44(10):1829-1839, Oct 1999.
17. W.J. Rugh. Linear System Theory. Information and system sciences series. Prentice Hall, Upper Saddle River, New Jersey, 2 edition, 1996.
18. O. Schein and G. Denk. Numerical solution of stochastic differential-algebraic equations with applications to transient noise simulation of microelectronic circuits. Journal of Computational and Applied Mathematics, 100:77-92, 1998.
19. T. Schön, F. Gustafsson, and A. Hansson. A note on state estimation as a convex optimization problem. In IEEE International Conference on Acoustics, Speech, and Signal Processing, volume 6, pages 61-64, Hong Kong, April 2003.
20. M. Tiller. Introduction to Physical Modeling with Modelica. Kluwer, Boston, Mass., 2001.
21. A. Varga. Numerical algorithms and software tools for analysis and modelling of descriptor systems. In Prepr. of 2nd IFAC Workshop on System Structure and Control, Prague, Czechoslovakia, pages 392-395, 1992.
22. R. Winkler. Stochastic Differential Algebraic Equations of Index 1 and Applications in Circuit Simulation. Humboldt-University, Berlin, Institut fur Mathematik, 2001. To appear in J.Comp.Math.Appl.