Parameter Estimation Using Kalman Filters with Constraints

  title={Parameter Estimation Using Kalman Filters with Constraints},
  author={David M. Walker},
  journal={Int. J. Bifurc. Chaos},
  • D. Walker
  • Published 1 April 2006
  • Mathematics
  • Int. J. Bifurc. Chaos
We suggest incorporating dynamical information such as locations of unstable fixed points into parameter estimation algorithms in order to improve the method of reconstructing dynamics from time series data. We show how the process of reconstruction using nonlinear filters such as the extended Kalman filter can be easily modified to take advantage of the additional information. We demonstrate the methods using data from two systems exhibiting chaotic dynamics — the Chua circuit and Chen's… 

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