KALMAN FILTER DYNAMIC BEHAVIOR ON LINEAR DIFFERECE SCHEMES

V. M. Bobrov, V. M. Kukhtin, V. M. Chekshin
Vant. Ser. Metodiki i Programmy Chislennogo Resheniya Zadach Matematicheskoy Fiziki 1983. Вып.3. С. 44-49.

      A dynamic filtering problem is formulated for linear partial differential equations. For this problem, assuming the presence of additive Gauss noise in initial and boundary conditions was a point of departure. A program implementing a filtering algorithm was used to investigate the dynamic behavior of the Kalman filter covariant portion on difference schemes developed for heat conduction and transport equations. A relationship between the dynamic filtering stability and that of a solution obtained with difference schemes is shown.