On the development and application of a continuous-discrete recursive prediction error algorithm.

J D Stigter; M B Beck

doi:10.1016/j.mbs.2004.06.002

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On the development and application of a continuous-discrete recursive prediction error algorithm.

J D Stigter·M B Beck

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Abstract

Recursive state and parameter reconstruction is a well-established field in control theory. In the current paper we derive a continuous-discrete version of recursive prediction error algorithm and apply the filter in an environmental and biological setting as a possible alternative to the well-known extended Kalman filter. The framework from which the derivation is started is the so-called 'innovations-format' of the (continuous time) system model, including (discrete time) measurements. After the algorithm has been motivated and derived, it is subsequently applied to hypothetical and 'real-life' case studies including reconstruction of biokinetic parameters and parameters characterizing the dynamics of a river in the United Kingdom. Advantages and characteristics of the method are discussed.

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J D Stigter, M B Beck. 2004. On the development and application of a continuous-discrete recursive prediction error algorithm.. https://doi.org/10.1016/j.mbs.2004.06.002

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