A new real-time suboptimum filtering and prediction scheme for general nonlinear discrete dynamic systems with Gaussian or non-Gaussian noise

Date

2011-01-01

Author

Demirbaş, Kerim

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A new suboptimum state filtering and prediction scheme is proposed for nonlinear discrete dynamic systems with Gaussian or non-Gaussian disturbance and observation noises. This scheme is an online estimation scheme for real-time applications. Furthermore, this scheme is very suitable for state estimation under either constraints imposed on estimates or missing observations. State and observation models can be any nonlinear functions of the states, disturbance and observation noises as long as noise samples are independent, and the density functions of noise samples and conditional density functions of the observations given the states are available. State models are used to calculate transition probabilities from gates to gates. If these transition probabilities are known or can be estimated, state models are not needed for estimation. The proposed scheme (PR) is based upon state quantisation and multiple hypothesis testing. Monte Carlo simulations have shown that the performance of the PR, sampling importance resampling (SIR) particle filter and extended Kalman (EK) filter are all model-dependent, and that the performance of the PR is better than both the SIR particle filter and EK filter for some nonlinear models, simulation results of three of which are given in this article.

Subject Keywords

Control and Systems Engineering, Theoretical Computer Science, Computer Science Applications, Estimation, Nonlinear estimation, Filtering, Nonlinear filtering, Prediction, Nonlinear prediction, Tracking, Nonlinear tracking, Real-time estimation, Online filtering, Online prediction, Particle filters

URI

https://hdl.handle.net/11511/58027

Collections

Graduate School of Natural and Applied Sciences, Article