Adaptive sparse-grid Gauss-Hermite filter

DOI10.1016/J.CAM.2018.04.006MaRDI QIDQ1639552zbMATH OpenOpenAlexWikidataFDO

Authors Abhinoy Kumar Singh, R. Radhakrishnan, Shovan Bhaumik, Paresh Date

Publication date 13 June 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.09272

zbMATH Keywords

complexity reductionnonlinear filteringproduct ruleadaptive sparse-gridGauss-Hermite quadrature ruleSmolyak rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stability theory for difference equations (39A30) Numerical methods for functional equations (65Q20)

Abstract: In this paper, a new nonlinear filter based on sparse-grid quadrature method has been proposed. The proposed filter is named as adaptive sparse-grid Gauss-Hermite filter (ASGHF). Ordinary sparse-grid technique treats all the dimensions equally, whereas the ASGHF assigns a fewer number of points along the dimensions with lower nonlinearity. It uses adaptive tensor product to construct multidimensional points until a predefined error tolerance level is reached. The performance of the proposed filter is illustrated with two nonlinear filtering problems. Simulation results demonstrate that the new algorithm achieves a similar accuracy as compared to sparse-grid Gauss-Hermite filter (SGHF) and Gauss-Hermite filter (GHF) with a considerable reduction in computational load. Further, in the conventional GHF and SGHF, any increase in the accuracy level may result in an unacceptably high increase in the computational burden. However, in ASGHF, a little increase in estimation accuracy is possible with a limited increase in computational burden by varying the error tolerance level and the error weighting parameter. This enables the online estimator to operate near full efficiency with a predefined computational budget.

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Cites work

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Cited in

(6)

• Gaussian kernel quadrature Kalman filter
• Multiple sparse-grid Gauss-Hermite filtering
• Generalized Gauss-Hermite filtering
• scientific article; zbMATH DE number 6671531 (Why is no real title available?)
• Sparse-grid quadrature nonlinear filtering
• A Sparse-Interpolated Scheme for Implementing Adaptive Volterra Filters

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